Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war

Hassen Raïs and Assen Slim

Journal of Energy Markets

Abstract: This paper examines the impact of geopolitical conflict on the informational efficiency of financial markets. We focus on the performance of cryptocurrencies and energy stocks before and during the Russo-Ukrainian conflict to assess how their price dynamics changed in response to the 2022 shock. By analyzing long-term dependencies in both returns and volatility, we identify persistent shifts in market behavior that challenge the random walk hypothesis. Our results highlight a structural increase in price predictability and volatility persistence during conflict conditions. These findings have direct implications for forecasting strategies, portfolio allocation and arbitrage opportunities in times of geopolitical tension.

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