The impact of Ukraine-Russia war on stock market volatility in G7: An empirical analysis using EGARCH model.
Journal Title: MSA-Management Sciences Journal (MSA-MSJ) - Year 2024, Vol 3, Issue 3
Abstract
The current study investigates how the recent war between Ukraine and Russia impacted the volatility of G7 economies of the stock markets in major industrialized countries like United States (US), the United Kingdom (UK), Canada, Japan, France, Germany, and Italy. The paper applies EGRACH model to detect the influence of the war on stock markets volatility. EGRACH estimations revealed that there is a direct impact of the information content of the war on the volatility of the majority of the countries under study. More specifically, four countries are negatively influenced by the war, Canada, France, Germany and UK. While three countries are not affected by the news which are Japan, USA and Italy. Granger causality reveals that there is a unidirectional relationship between war news and stock indices of three economies which are Germany, France and Italy. However, other indices did not show any unidirectional relationship (Japan, USA, UK and Canada). To find out if there is a long-term association between indices and the information content of the war, co-integration test was employed. The results showed the long-term association between the two variables.
Authors and Affiliations
Sarah Sobhy Hassan
Keywords
Related Articles
- EP ID EP738156
- DOI -
- Views 8
- Downloads 0
The Moderating Role of Board Governance on the Relationship Between Managerial Overconfidence and Corporate Risk: Evidence from Emerging Markets
The study investigated the effect of managerial overconfidence on corporation risks within the moderator role of board governance in Brazil, Egypt, India, Russia, Saudi Arabia, South Africa, and Turkey as emerging market...
DETERMINANTS THAT IMPACT A DESTINATION IMAGE: APPLICATION ON EL GOUNA THE RECENTLY FOUNDED CONTEMPORARY RESORT CONURBATION IN EGYPT.
The purpose of this research paper is to investigate the factors influencing destination image as destination image is a major determinant that influences purchase decisions of going to a destination or not, either c...
CAUSAL LINKS BETWEEN ICT, HDI, AND ECONOMIC GROWTH: EVIDENCE FROM MENA
This paper examines the causal links between ICT, HDI, and economic growth in the MENA region's high-income, middle-income, and low-income countries from 2002 to 2019. These panel data will be studied by using several te...
Balancing Technocentric and Ecocentric Approaches: Integrating Ethnocultural Perspectives in Environmental Policies of Finland and Bhutan
This study delves into the intricate relationship between technology, ecology, and culture and its significant implications for environmental policies and marketing strategies on a global scale. By focusing on Finland an...
THE EFFECT OF DISTRIBUTION CHANNELS’ STRATEGIES AND TYPES ON CONSUMERS’ BUYING BEHAVIOR OF CONVENIENCE PRODUCTS
extend to be the core for creating competitive advantages for many products, especially for fast-moving consumer goods where product accessibility is a main determinant for consumers’ buying behaviour. Accordingly, the p...