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
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