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

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: 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