Reactions of Global Stock Markets to the Russia–Ukraine War: An Empirical Evidence

Emon Kalyan Chowdhury () and Iffat Ishrat Khan
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Emon Kalyan Chowdhury: Chittagong Independent University
Iffat Ishrat Khan: Chittagong Independent University

Asia-Pacific Financial Markets, 2024, vol. 31, issue 3, No 9, 755-778

Abstract: Abstract This study measures the immediate impact of Russia–Ukraine war on the global stock markets for the first four months since Russia’s first invasion attempt on February 24, 2022. Daily closing stock indices have been used from selected stock markets of six different continents. By applying event study method, it observes mixed impact on different stock markets. Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH 1,1) indicates the presence of significant volatility and leverage effect in all the markets. Regression estimates show significantly positive impact of VIX and negative impact of oil on the abnormal returns of the global stock markets. Diversifying energy supply and source, accelerating deployment of renewables and promoting electronic vehicles and machines might bring positive result for the financial market. It is expected that this research will provide policymakers, regulatory authorities, investors and all concerned stakeholders a precise guideline to handle the immediate impact of war on the stock prices and to formulate appropriate strategies to keep investment free from risk and uncertainties.

Keywords: Stock markets; Volatility; War; Russia; Ukraine; Event study (search for similar items in EconPapers)
JEL-codes: B23 G11 G14 G15 H56 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10690-023-09429-4

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