Impact of the Russia–Ukraine War: evidence from G20 countries

IF 2.3 Q2 BUSINESS, FINANCE

Studies in Economics and Finance Pub Date : 2024-07-25 DOI:10.1108/sef-05-2023-0218

Josua Tarigan, Monica Delia, Saarce Elsye Hatane

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引用次数: 0

Abstract

Purpose

This paper aims to investigate the impact of geopolitical events of the Russia–Ukraine conflict on the stock market volatility of G20 countries. Furthermore, the paper also investigates the possible reasons for any similarities or differences in the results of the three sectors.

Design/methodology/approach

This paper measures the impact of the stock market sectoral index price (SIP) by using the daily closing price as a dependent variable. In addition, this study uses three independent variables: geopolitical risk (GPR), commodity price (CP) and foreign exchange rate (FER). Seventeen countries from the G20 are analyzed using a daily timeframe from September 2021 to August 2022 (before and during the Russian invasion).

Findings

The results revealed that FER, CP and GPR all affect SIP, but the level of significance and positive/negative signs vary in all three sectors. The positive FER affects SIP in all sectors, while the negative CP and GPR significantly impact SIP in the energy and transportation sectors.

Research limitations/implications

This study’s research model is more suited for transportation and energy than consumer goods. Future researchers can enhance the research model for the consumer goods sector by incorporating additional variables to understand their relationship with SIP better.

Originality/value

This study explores the impact of the Russia–Ukraine conflict on the stock market in G20 countries, focusing on the top three most affected sectors.

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俄乌战争的影响：来自 G20 国家的证据

目的本文旨在研究俄乌冲突这一地缘政治事件对 G20 国家股市波动性的影响。此外，本文还调查了三个行业结果异同的可能原因。设计/方法/途径本文以每日收盘价为因变量，衡量股市行业指数价格（SIP）的影响。此外，本研究还使用了三个自变量：地缘政治风险（GPR）、商品价格（CP）和外汇汇率（FER）。研究结果表明，FER、CP 和 GPR 都会影响 SIP，但三个变量的显著性水平和正负符号各不相同。正向的 FER 会影响所有行业的 SIP，而负向的 CP 和 GPR 则会显著影响能源和运输行业的 SIP。未来的研究人员可以通过纳入更多变量来增强消费品行业的研究模型，从而更好地理解它们与 SIP 的关系。本研究探讨了俄乌冲突对 G20 国家股票市场的影响，重点关注受影响最大的前三个行业。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Studies in Economics and Finance BUSINESS, FINANCE-

CiteScore

4.30

自引率

10.50%

发文量

期刊介绍： Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.