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The Impact of the Russian-Ukrainian War on Global Financial Markets

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The Impact of the Russian-Ukrainian War on Global Financial Markets. / Izzeldin, Marwan; Muradoglu , Gulnur ; Pappas, Vasileios et al.
In: International Review of Financial Analysis, Vol. 87, 102598, 31.05.2023.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Izzeldin, M, Muradoglu , G, Pappas, V, Petropoulou, A & Sivaprasad, S 2023, 'The Impact of the Russian-Ukrainian War on Global Financial Markets', International Review of Financial Analysis, vol. 87, 102598. https://doi.org/10.1016/j.irfa.2023.102598

APA

Izzeldin, M., Muradoglu , G., Pappas, V., Petropoulou, A., & Sivaprasad, S. (2023). The Impact of the Russian-Ukrainian War on Global Financial Markets. International Review of Financial Analysis, 87, Article 102598. https://doi.org/10.1016/j.irfa.2023.102598

Vancouver

Izzeldin M, Muradoglu G, Pappas V, Petropoulou A, Sivaprasad S. The Impact of the Russian-Ukrainian War on Global Financial Markets. International Review of Financial Analysis. 2023 May 31;87:102598. Epub 2023 Feb 22. doi: 10.1016/j.irfa.2023.102598

Author

Izzeldin, Marwan ; Muradoglu , Gulnur ; Pappas, Vasileios et al. / The Impact of the Russian-Ukrainian War on Global Financial Markets. In: International Review of Financial Analysis. 2023 ; Vol. 87.

Bibtex

@article{0363189c7a7a404c899152a8ff235e03,
title = "The Impact of the Russian-Ukrainian War on Global Financial Markets",
abstract = "On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries. ",
keywords = "Ukraine war, Financial markets, HAR, Markov switching, Commodities",
author = "Marwan Izzeldin and Gulnur Muradoglu and Vasileios Pappas and Athina Petropoulou and Sheeja Sivaprasad",
year = "2023",
month = may,
day = "31",
doi = "10.1016/j.irfa.2023.102598",
language = "English",
volume = "87",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

RIS

TY - JOUR

T1 - The Impact of the Russian-Ukrainian War on Global Financial Markets

AU - Izzeldin, Marwan

AU - Muradoglu , Gulnur

AU - Pappas, Vasileios

AU - Petropoulou, Athina

AU - Sivaprasad, Sheeja

PY - 2023/5/31

Y1 - 2023/5/31

N2 - On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

AB - On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

KW - Ukraine war

KW - Financial markets

KW - HAR

KW - Markov switching

KW - Commodities

U2 - 10.1016/j.irfa.2023.102598

DO - 10.1016/j.irfa.2023.102598

M3 - Journal article

VL - 87

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

M1 - 102598

ER -