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Название: Impact of Russia–Ukraine conflict on Russian financial market: Evidence from TVP-VAR and quantile-VAR analysis
Авторы: Ullah, M.
Sohag, K.
Khan, S.
Sohail, H. M.
Дата публикации: 2023
Издатель: Non-profit partnership 'Voprosy Ekonomiki'
Библиографическое описание: Ullah, M, Sohag, K, Khan, S & Sohail, HM 2023, 'Impact of Russia–Ukraine conflict on Russian financial market: Evidence from TVP-VAR and quantile-VAR analysis', Russian Journal of Economics, Том. 9, № 3, стр. 284-305. https://doi.org/10.32609/j.ruje.9.105833
Ullah, M., Sohag, K., Khan, S., & Sohail, H. M. (2023). Impact of Russia–Ukraine conflict on Russian financial market: Evidence from TVP-VAR and quantile-VAR analysis. Russian Journal of Economics, 9(3), 284-305. https://doi.org/10.32609/j.ruje.9.105833
Аннотация: This study aims to analyze the repercussions of the Russia–Ukraine conflict on the Russian financial market, focusing on the main stock market and sectorial stock indices. High-frequency hourly data from September 12, 2021, to April 29, 2022, covering the period before and after the outbreak of conflict, is utilized for analysis. The empirical investigation employs the TVP-VAR and Quantile-VAR connectedness approaches. Our findings indicate a significant impact of the conflict on the Russian stock market, leading to increased market risk during the event period. Notably, certain sectors, including oil and gas, utilities, metals & mining, financials, consumer goods, and services exerted more influence on other sectors, while chemicals, transport, and telecoms were influenced by other sectors. These insights are crucial for comprehending the financial implications of the ongoing conflict on the local economy, providing valuable guidance to portfolio managers, investors, and policymakers in devising effective financial strategies. © 2023 Non-profit partnership “Voprosy Ekonomiki”.
Ключевые слова: QUANTILE NETWORK CONNECTEDNESS ESTIMATIONS
RUSSIA–UKRAINE CONFLICT
SECTORIAL INDEX
STOCK MARKET INDEX
TVP-VAR
URI: http://elar.urfu.ru/handle/10995/130857
Условия доступа: info:eu-repo/semantics/openAccess
cc-by-nc-nd
Текст лицензии: https://creativecommons.org/licenses/by-nc-nd/4.0/
Идентификатор РИНЦ: 54671693
Идентификатор SCOPUS: 85174046209
Идентификатор PURE: 46908649
ISSN: 2618-7213
DOI: 10.32609/j.ruje.9.105833
Располагается в коллекциях:Научные публикации ученых УрФУ, проиндексированные в SCOPUS и WoS CC

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