Economic sanctions sentiment and global stock markets

Emmanuel Abakah, Mohammad Abdullah, Imran Yousaf, Aviral Kumar Tiwari and Yanshuang Li

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: This study explores the impact of Russia-Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time-varying influence on the G10 stock market. The results of the time–frequency quantile VAR (TF-QVAR) approach show a time-varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.

Keywords: Russia-Ukraine war; Economic sanctions; News sentiments; Global equity markets; Geopolitical conflict (search for similar items in EconPapers)
JEL-codes: C14 G10 G12 G14 G40 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001786

DOI: 10.1016/j.intfin.2023.101910

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