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

36 Pages Posted: 16 Jun 2022 Last revised: 7 Oct 2022

See all articles by Marwan Izzeldin

Marwan Izzeldin

Lancaster University Management School

Yaz Gulnur Muradoglu

City University London - The Business School; Queen Mary University of London

Vasileios Pappas

University of Kent, Kent Business School

Athina Petropoulou

SOAS University of London

Sheeja Sivaprasad

University of Westminster

Date Written: October 6, 2022

Abstract

On February 24, 2022, Russia invaded 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 either the Covid-19 or 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

JEL Classification: G15, C24

Suggested Citation

Izzeldin, Marwan and Muradoglu, Yaz Gulnur and Muradoglu, Yaz Gulnur and Pappas, Vasileios and Petropoulou, Athina and Sivaprasad, Sheeja, The Impact of the Russian-Ukrainian War on Global Financial Markets (October 6, 2022). Available at SSRN: https://ssrn.com/abstract=4133387 or http://dx.doi.org/10.2139/ssrn.4133387

Marwan Izzeldin

Lancaster University Management School ( email )

Lancaster, LA1 4YX
United Kingdom
01524 594674 (Phone)

HOME PAGE: http://www.lums.lancs.ac.uk/profiles/marwan-izzeldin/

Yaz Gulnur Muradoglu

Queen Mary University of London ( email )

Francis Bancroft Building
Mile End Road
London, E1 4NS
United Kingdom

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)

Vasileios Pappas (Contact Author)

University of Kent, Kent Business School ( email )

Canterbury, Kent CT2 7PE
United Kingdom

Athina Petropoulou

SOAS University of London ( email )

London, WC1E 7HU
United Kingdom
07930084823 (Phone)
WC1H 0XG (Fax)

Sheeja Sivaprasad

University of Westminster ( email )

309 Regent Street
London, W1R 8AL
United Kingdom

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