Financial Market Spillovers and Investor Attention to the Russia-Ukraine War

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aut.relation.articlenumber103521
aut.relation.endpage103521
aut.relation.journalInternational Review of Economics and Finance
aut.relation.startpage103521
aut.relation.volume96
dc.contributor.authorLi, Z
dc.contributor.authorHu, B
dc.contributor.authorZhang, Y
dc.contributor.authorYang, W
dc.date.accessioned2024-09-05T23:14:32Z
dc.date.available2024-09-05T23:14:32Z
dc.date.issued2024-11-01
dc.description.abstractThis 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.
dc.identifier.citationInternational Review of Economics and Finance, ISSN: 1059-0560 (Print), Elsevier BV, 96, 103521-103521. doi: 10.1016/j.iref.2024.103521
dc.identifier.doi10.1016/j.iref.2024.103521
dc.identifier.issn1059-0560
dc.identifier.urihttp://hdl.handle.net/10292/17983
dc.languageen
dc.publisherElsevier BV
dc.relation.urihttps://www.sciencedirect.com/science/article/pii/S1059056024005136
dc.rights© 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/).
dc.rights.accessrightsOpenAccess
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subject38 Economics
dc.subject3502 Banking, Finance and Investment
dc.subject3801 Applied Economics
dc.subject35 Commerce, Management, Tourism and Services
dc.subject16 Peace, Justice and Strong Institutions
dc.subject1401 Economic Theory
dc.subject1402 Applied Economics
dc.subject1502 Banking, Finance and Investment
dc.subjectEconomics
dc.subject3501 Accounting, auditing and accountability
dc.subject3502 Banking, finance and investment
dc.subject3801 Applied economics
dc.titleFinancial Market Spillovers and Investor Attention to the Russia-Ukraine War
dc.typeJournal Article
pubs.elements-id567998
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