Impact of Russia–Ukraine conflict on Russian financial market: Evidence from TVP-VAR and quantile-VAR analysis
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
Impact of Russia–Ukraine conflict on Russian financial market: Evidence from TVP-VAR and quantile-VAR analysis
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| Автор |
Ullah, M.
Sohag, K. Khan, S. Sohail, H. M. |
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| Тематика |
QUANTILE NETWORK CONNECTEDNESS ESTIMATIONS
RUSSIA–UKRAINE CONFLICT SECTORIAL INDEX STOCK MARKET INDEX TVP-VAR |
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| Описание |
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”.
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| Дата |
2024-04-05T16:34:29Z
2024-04-05T16:34:29Z 2023 |
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| Тип |
Article
Journal article (info:eu-repo/semantics/article) |info:eu-repo/semantics/publishedVersion |
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| Идентификатор |
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 2618-7213 Final All Open Access, Gold, Green https://www.scopus.com/inward/record.uri?eid=2-s2.0-85174046209&doi=10.32609%2fj.ruje.9.105833&partnerID=40&md5=72e6ea9c7ef51348ea561a8e8e4df44d https://rujec.org/article/105833/download/pdf/ http://elar.urfu.ru/handle/10995/130857 54671693 10.32609/j.ruje.9.105833 85174046209 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
cc-by-nc-nd https://creativecommons.org/licenses/by-nc-nd/4.0/ |
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| Формат |
application/pdf
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| Издатель |
Non-profit partnership 'Voprosy Ekonomiki'
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| Источник |
Russian Journal of Economics
Russian Journal of Economics |
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