Financial Market Spillovers and Investor Attention to the Russia-Ukraine War
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Elsevier BV
Abstract
This study examines the impact of the Russia-Ukraine war on global commodity and financial markets by analysing the volatility and return spillovers of 26 assets across six different markets. We find significant increases in volatility spillovers after the invasion although increases in return spillovers were milder. Stock and currency markets were the leading spillover transmitters and receivers. Investor attention to the conflict played a large role in driving market spillovers, particularly in extreme quantiles. Meanwhile, uncertain market conditions seem to provide significant feedback to investor attention, resulting in amplified market risk. Our findings highlight the substantial effect of the Russia-Ukraine war on global market spillovers and the role of investor attention in shaping these dynamics.Description
Keywords
38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services, 16 Peace, Justice and Strong Institutions, 1401 Economic Theory, 1402 Applied Economics, 1502 Banking, Finance and Investment, Economics, 3501 Accounting, auditing and accountability, 3502 Banking, finance and investment, 3801 Applied economics
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International Review of Economics and Finance, ISSN: 1059-0560 (Print), Elsevier BV, 96, 103521-103521. doi: 10.1016/j.iref.2024.103521
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© 2024 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).