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

30 Pages Posted: 16 Jun 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: June 10, 2022

Abstract

On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and worldwide stock markets and a representative sample of commodities to this event and compare it against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. We employ a Markov-switching HAR model on volatility proxies and estimate synchronization, duration and intensity measures for each event. We find stock markets and commodities respond earlier to the invasion event compared to either the Covid-19 or the GFC. By contrast, crisis duration following the invasion is lesser than either of the other two events. 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 (June 10, 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

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)

Queen Mary University of London ( email )

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

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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