The impact of the Russian-Ukrainian war on global financial markets

Marwan Izzeldin, Yaz Muradoglu, Vasileios Pappas, Athina Petropoulou and Sheeja Sivaprasad

International Review of Financial Analysis, 2023, vol. 87, issue C

Abstract: On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

Keywords: Ukraine war; Financial markets; HAR; Markov switching; Commodities (search for similar items in EconPapers)
JEL-codes: C24 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s105752192300114x

DOI: 10.1016/j.irfa.2023.102598

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