Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine
Since the financial meltdown, studies on systemic risk and financial contagion have gained currency. Events like the COVID pandemic and the Russian invasion of Ukraine have fueled such an importance. This study examines the impact of the invasion on volatility transmissions across major stock market...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2024-04-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19957/IMFI_2024_02_Raavinuthala.pdf |
| _version_ | 1797201177748701184 |
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| author | Satya Krishna Sharma Raavinuthala Girish Jain Gokulananda Patel |
| author_facet | Satya Krishna Sharma Raavinuthala Girish Jain Gokulananda Patel |
| author_sort | Satya Krishna Sharma Raavinuthala |
| collection | DOAJ |
| description | Since the financial meltdown, studies on systemic risk and financial contagion have gained currency. Events like the COVID pandemic and the Russian invasion of Ukraine have fueled such an importance. This study examines the impact of the invasion on volatility transmissions across major stock markets worldwide. The stock indices considered in this study are ASX 200, ESTOXX 40, FTSE 100, HNGSNG, NIFTY 50, NIKKIE, and S&P 500. The work uses Vector Auto Regression (VAR) to study the transmission of returns. Later, the work performs Dynamic Conditional Covariance-Generalized Auto Regression Conditional Heteroskedasticity (DCC-GARCH) on the residuals where the transmission of returns was significant. The DCC-GARCH (E-GARCH) shows that all the asymmetric transmissions are negative. The study finds that co-movements of stock returns for the following pairs: ESTOXX 50-S&P 500, NIFTY 50-FTSE100, NIFTY 50-NIKKIE, NIKKIE-ESTOXX 50, S&P 500-NIFTY 50, and SP500-HNGSNG significantly intensified after the declaration of invasion. Such intensification of co-movements does establish the contagion effect triggered by invasion. The study shows that ESTOXX 50, which has the closest geographical proximity to the war zone, happens to be the highest generator of spillovers. |
| first_indexed | 2024-04-24T07:43:24Z |
| format | Article |
| id | doaj.art-480917c0bc47409499ebdf6c2591bed4 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-04-24T07:43:24Z |
| publishDate | 2024-04-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-480917c0bc47409499ebdf6c2591bed42024-04-19T06:00:38ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582024-04-0121213014310.21511/imfi.21(2).2024.1019957Spillovers across global stock markets before and after the declaration of Russia’s invasion of UkraineSatya Krishna Sharma Raavinuthala0https://orcid.org/0000-0001-9681-3222Girish Jain1https://orcid.org/0000-0003-1428-5599Gokulananda Patel2https://orcid.org/0000-0002-4608-2924Assistant Professor, GITAM University, IndiaPh.D., Professor, Birla Institute of Management Technology, IndiaPh.D., Professor, Birla Institute of Management Technology, IndiaSince the financial meltdown, studies on systemic risk and financial contagion have gained currency. Events like the COVID pandemic and the Russian invasion of Ukraine have fueled such an importance. This study examines the impact of the invasion on volatility transmissions across major stock markets worldwide. The stock indices considered in this study are ASX 200, ESTOXX 40, FTSE 100, HNGSNG, NIFTY 50, NIKKIE, and S&P 500. The work uses Vector Auto Regression (VAR) to study the transmission of returns. Later, the work performs Dynamic Conditional Covariance-Generalized Auto Regression Conditional Heteroskedasticity (DCC-GARCH) on the residuals where the transmission of returns was significant. The DCC-GARCH (E-GARCH) shows that all the asymmetric transmissions are negative. The study finds that co-movements of stock returns for the following pairs: ESTOXX 50-S&P 500, NIFTY 50-FTSE100, NIFTY 50-NIKKIE, NIKKIE-ESTOXX 50, S&P 500-NIFTY 50, and SP500-HNGSNG significantly intensified after the declaration of invasion. Such intensification of co-movements does establish the contagion effect triggered by invasion. The study shows that ESTOXX 50, which has the closest geographical proximity to the war zone, happens to be the highest generator of spillovers.https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19957/IMFI_2024_02_Raavinuthala.pdfcrisisdynamic spilloversheteroskedasticitywar |
| spellingShingle | Satya Krishna Sharma Raavinuthala Girish Jain Gokulananda Patel Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine Investment Management & Financial Innovations crisis dynamic spillovers heteroskedasticity war |
| title | Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine |
| title_full | Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine |
| title_fullStr | Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine |
| title_full_unstemmed | Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine |
| title_short | Spillovers across global stock markets before and after the declaration of Russia’s invasion of Ukraine |
| title_sort | spillovers across global stock markets before and after the declaration of russia s invasion of ukraine |
| topic | crisis dynamic spillovers heteroskedasticity war |
| url | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19957/IMFI_2024_02_Raavinuthala.pdf |
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