The impact of the Russia-Ukraine conflict on the connectedness of financial markets
DC Field | Value | Language |
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dc.contributor.author | Umar, Zaghum | - |
dc.contributor.author | Polat, Onur | - |
dc.contributor.author | Choi, Sun-Yong | - |
dc.contributor.author | Teplova, Tamara | - |
dc.date.accessioned | 2022-09-08T03:40:10Z | - |
dc.date.available | 2022-09-08T03:40:10Z | - |
dc.date.created | 2022-09-08 | - |
dc.date.issued | 2022-08 | - |
dc.identifier.issn | 1544-6123 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/85438 | - |
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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | - |
dc.relation.isPartOf | FINANCE RESEARCH LETTERS | - |
dc.title | The impact of the Russia-Ukraine conflict on the connectedness of financial markets | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000829919000009 | - |
dc.identifier.doi | 10.1016/j.frl.2022.102976 | - |
dc.identifier.bibliographicCitation | FINANCE RESEARCH LETTERS, v.48 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.scopusid | 2-s2.0-85130792775 | - |
dc.citation.title | FINANCE RESEARCH LETTERS | - |
dc.citation.volume | 48 | - |
dc.contributor.affiliatedAuthor | Choi, Sun-Yong | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | Geopolitical risk | - |
dc.subject.keywordAuthor | Russian-Ukrainian conflict | - |
dc.subject.keywordAuthor | Dynamic connectedness | - |
dc.subject.keywordAuthor | Time-varying parameter vector autoregression | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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