Impact of the Russia–Ukraine War: evidence from G20 countries

Josua Tarigan, Monica Delia and Saarce Elsye Hatane

Studies in Economics and Finance, 2024, vol. 42, issue 1, 135-153

Abstract: Purpose - This paper aims to investigate the impact of geopolitical events of the Russia–Ukraine conflict on the stock market volatility of G20 countries. Furthermore, the paper also investigates the possible reasons for any similarities or differences in the results of the three sectors. Design/methodology/approach - This paper measures the impact of the stock market sectoral index price (SIP) by using the daily closing price as a dependent variable. In addition, this study uses three independent variables: geopolitical risk (GPR), commodity price (CP) and foreign exchange rate (FER). Seventeen countries from the G20 are analyzed using a daily timeframe from September 2021 to August 2022 (before and during the Russian invasion). Findings - The results revealed that FER, CP and GPR all affect SIP, but the level of significance and positive/negative signs vary in all three sectors. The positive FER affects SIP in all sectors, while the negative CP and GPR significantly impact SIP in the energy and transportation sectors. Research limitations/implications - This study’s research model is more suited for transportation and energy than consumer goods. Future researchers can enhance the research model for the consumer goods sector by incorporating additional variables to understand their relationship with SIP better. Originality/value - This study explores the impact of the Russia–Ukraine conflict on the stock market in G20 countries, focusing on the top three most affected sectors.

Keywords: Russia–Ukraine conflict; Stock market volatility; Sectoral indices; G20 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-05-2023-0218

DOI: 10.1108/SEF-05-2023-0218

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