The Russia-Ukraine war and stock market volatility: lessons from selected South Asian countries

Nishat Rumaly, Md Mehedi Hasan, Uttam Golder and Barnali Roy

International Journal of Diplomacy and Economy, 2025, vol. 11, issue 1, 82-99

Abstract: This study examines how the ongoing war between Russia and Ukraine affects the stock markets of selected South Asian nations. Although several studies in developed countries have explored the footprint of this dispute on the equity market, the impression of this war in the South Asian context is still underexplored. Using data from August 2014 to November 2022, we inquire about the aftermath of the Russia-Ukraine war on stock market volatility and its return in five selected South Asian countries: Bangladesh, India, Pakistan, Sri Lanka and Nepal. Applying Generalised Auto-Regressive Conditional Heteroskedasticity-in-Mean (GARCH-M) model, we find that the war increases the volatility of stock markets. Besides, we also identify that the war negatively impacts the equity return. Our study recommends that the battle must end right now and rigorous regulatory adjustments be implemented to mitigate the financial damages resulting from the conflict.

Keywords: Russia-Ukraine war; DSEX; Nifty 500; KSE 100; CSE all-share; NEPSE; GARCH-M. (search for similar items in EconPapers)
Date: 2025
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