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

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2023-10-05 DOI:10.1007/s10690-023-09429-4
Emon Kalyan Chowdhury, Iffat Ishrat Khan
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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.

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全球股市对俄乌战争的反应:经验证据
本研究衡量了自 2022 年 2 月 24 日俄罗斯首次入侵尝试以来的头四个月中,俄乌战争对全球股市的直接影响。研究使用了六大洲选定股票市场的每日收盘股票指数。通过应用事件研究法,观察了对不同股票市场的混合影响。指数广义自回归条件异方差(EGARCH 1,1)表明所有市场都存在显著的波动性和杠杆效应。回归估计表明,VIX 对全球股市的异常回报率有明显的正向影响,而石油则有负向影响。能源供应和来源的多样化、可再生能源的加速部署以及电子汽车和机械的推广可能会给金融市场带来积极的影响。预计这项研究将为政策制定者、监管机构、投资者和所有相关利益方提供准确的指导,以应对战争对股票价格的直接影响,并制定适当的战略,使投资免受风险和不确定性的影响。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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