Geopolitical crises, financial markets, and intraday volatility spillovers

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-17 DOI:10.1016/j.najef.2025.102571

Yusaku Nishimura , Yang Ji , Bianxia Sun

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Abstract

This paper examines intraday volatility spillovers in global financial markets in the context of recent geopolitical crises. We extend the intraday volatility spillover index (IVSI) framework to analyze high-frequency transmission patterns across financial markets during two recent geopolitical events, Russia-Ukraine war and the Israel-Hamas conflict. Our findings reveal that the Russia-Ukraine war significantly amplified volatility spillovers, particularly during periods of heightened market stress. In contrast, the Israel-Hamas conflict exhibited more limited spillover effects. Notably, we observe that geopolitical risk surged prior to February 2022, suggesting that markets had partially priced in the impending conflict. To capture nonlinear dynamics under varying risk conditions, we further employ a quantile vector autoregression (QVAR) model, which uncovers asymmetric spillover patterns across quantiles. These results underscore the importance of accounting for both the intensity and nature of geopolitical shocks when assessing financial contagion in high-frequency environments.

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地缘政治危机、金融市场和日内波动溢出效应

本文考察了近期地缘政治危机背景下全球金融市场的日内波动溢出效应。我们扩展了日内波动溢出指数（IVSI）框架，以分析最近两个地缘政治事件——俄罗斯-乌克兰战争和以色列-哈马斯冲突——期间金融市场的高频传导模式。我们的研究结果表明，俄乌战争显著放大了波动性溢出效应，尤其是在市场压力加剧的时期。相比之下，以色列-哈马斯冲突的溢出效应更为有限。值得注意的是，我们观察到地缘政治风险在2022年2月之前飙升，这表明市场已经部分消化了即将到来的冲突。为了捕捉不同风险条件下的非线性动态，我们进一步采用了分位数向量自回归（QVAR）模型，该模型揭示了跨分位数的不对称溢出模式。这些结果强调了在评估高频环境中的金融传染时，考虑地缘政治冲击的强度和性质的重要性。

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

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.