The Impact of the Russia-Ukraine Conflict on the Connectedness of Financial Markets
| dc.contributor.author | Umar, Zaghum | |
| dc.contributor.author | Polat, Onur | |
| dc.contributor.author | Choi, Sun-Yong | |
| dc.contributor.author | Teplova, Tamara | |
| dc.date.accessioned | 2025-05-09T20:47:30Z | |
| dc.date.available | 2025-05-09T20:47:30Z | |
| dc.date.issued | 2022 | |
| dc.description | Umar, Zaghum/0000-0002-0425-2665; Polat, Onur/0000-0002-7170-4254; Choi, Sun-Yong/0000-0001-7234-7183 | en_US |
| dc.description.abstract | We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short-and long-term frequencies, respectively. | en_US |
| dc.description.sponsorship | National Research Foundation of Korea (NRF) - Korea government (MSIT) [2021R1F1A1046138] | en_US |
| dc.description.sponsorship | The article was prepared within the framework of the Basic Research program at HSE University. The work of S.-Y. Choi was supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. 2021R1F1A1046138) . | en_US |
| dc.identifier.doi | 10.1016/j.frl.2022.102976 | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.issn | 1544-6131 | |
| dc.identifier.scopus | 2-s2.0-85130792775 | |
| dc.identifier.uri | https://doi.org/10.1016/j.frl.2022.102976 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/9527 | |
| dc.language.iso | en | en_US |
| dc.publisher | Academic Press inc Elsevier Science | en_US |
| dc.relation.ispartof | Finance Research Letters | |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Geopolitical Risk | en_US |
| dc.subject | Russian-Ukrainian Conflict | en_US |
| dc.subject | Dynamic Connectedness | en_US |
| dc.subject | Time-Varying Parameter Vector Autoregression | en_US |
| dc.title | The Impact of the Russia-Ukraine Conflict on the Connectedness of Financial Markets | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Umar, Zaghum/0000-0002-0425-2665 | |
| gdc.author.id | Polat, Onur/0000-0002-7170-4254 | |
| gdc.author.id | Choi, Sun-Yong/0000-0001-7234-7183 | |
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| gdc.author.wosid | Umar, Zaghum/Hni-4719-2023 | |
| gdc.author.wosid | Polat, Onur/Q-7985-2018 | |
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| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Umar, Zaghum] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates; [Polat, Onur] Bilecik Seyh Edebali Univ, Fac Econ & Adm Sci, Dept Publ Finance, TR-11100 Bilecik, Turkey; [Choi, Sun-Yong] Gachon Univ, Dept Financial Math, Seongnam 13120, South Korea; [Teplova, Tamara] Natl Res Univ, Higher Sch Econ, Moscow, Russia; [Polat, Onur] Cankaya Univ, Fac Econ & Adm Sci, Dept Econ, Ankara, Turkey | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
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| gdc.description.volume | 48 | en_US |
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| gdc.oaire.keywords | Dynamic connectedness | |
| gdc.oaire.keywords | Time-varying parameter vector autoregression | |
| gdc.oaire.keywords | Geopolitical risk | |
| gdc.oaire.keywords | Russian-Ukrainian conflict | |
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