The impact of the Russian-Ukrainian war on global financial markets
Marwan IzzeldinLancaster University, Lancaster LA1 4YW, UKYaz Gűlnur MuradoğluQueen Mary University of London, E1 4NS UKVasileios PappasUniversity of Kent, Kent ME4 4TE, UKAthina PetropoulouSOAS University of London, WC1H 0XG, UKSheeja SivaprasadUniversity of Westminster, London NW1 5LS, UK
2023en
ABI
Abstract
On February 24, 2022, Russia invaded the 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 both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.
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