The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities

Gaye-Del Lo, Isaac Marcelin, Théophile Bassène and Babacar Sène

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This study examines the influence of the Russo-Ukrainian war on financial markets, conditioned upon a country's dependence on Russian commodities, employing a large panel of 73 countries. Financial markets reacted to the war-induced shock significantly, with a weaker effect on asset prices than volatility. Markets perceived the dependence on Russian commodities as a significant risk factor, sinking stock returns and intensifying instability. The effect of the war on returns was significant for countries with a dependence beyond the [0–20%] level, suggesting a threshold for an adverse effect on asset prices. The armed conflict exacerbated volatility regardless of dependence levels; the effect increased with dependence. Results have implications for diversification strategies in international exchanges.

Keywords: Russo-Ukrainian war; Financial markets; Asset returns; Volatility; Google trends; Commodity dependence (search for similar items in EconPapers)
JEL-codes: E6 G1 G14 H56 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004007

DOI: 10.1016/j.frl.2022.103194

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