Stock market volatility and Russia–Ukraine conflict

Feng-lin Wu, Xu-dong Zhan, Jia-qi Zhou and Ming-hui Wang

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: In this paper, we use a two-phase model to study the impact of the Russia–Ukraine conflict on stock volatility. Our results show that the conflict reduces stock volatility initially, but increases it after Russia invaded Ukraine. Then, we construct risk transmission networks of different periods to explore the changes of transmission roles. Finally, we combine the results of historical outcomes mapping and frequency decomposition analysis to investigate the impact mechanisms between the Russia–Ukraine conflict and stock volatility. We also propose a possible interpretation for the War Puzzle, namely the sustained stability of the long-term connectedness component during war shocks.

Keywords: Russia–Ukraine conflict; Stock volatility; War puzzle; Risk transmission network (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s154461232300291x

DOI: 10.1016/j.frl.2023.103919

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