Volatility Spillover Effects of the US, European and Chinese Financial Markets in the Context of the Russia–Ukraine Conflict

Mohamed Beraich (), Karim Amzile, Jaouad Laamire, Omar Zirari and Mohamed Amine Fadali
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Mohamed Beraich: Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco
Karim Amzile: Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco
Jaouad Laamire: Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco
Mohamed Amine Fadali: Faculty of Law, Economic and Social Sciences Agdal, Mohamed V University in Rabat, Rabat 10000, Morocco

IJFS, 2022, vol. 10, issue 4, 1-18

Abstract: The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia–Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukraine on the transmission of volatility between the American, European and Chinese stock markets using the DY methodology. The sample period for daily data is from 1 June 2019 to 1 June 2022, excluding holidays. The volatility spillover index increased during the war period, but this increase remains insignificant compared to that recorded during the COVID-19 pandemic crisis. According to the empirical results, we also found varying levels of dependence and spillover effects between the European, American and Chinese stock indices before and during the Russia–Ukraine conflict.

Keywords: financial contagion; volatility spillovers; vector autoregression model; variance decomposition (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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