Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB

IF 2.3 Q2 BUSINESS, FINANCE

Studies in Economics and Finance Pub Date : 2023-03-14 DOI:10.1108/sef-12-2022-0555

Florin Aliu, I. Mulaj, Simona Hašková

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引用次数: 3

Abstract

Purpose The Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX) on Deutscher Aktien Index (DAX), Austrian Traded Index (ATX) and Milano Indice di Borsa (FTSEMIB). The German, Austrian and Italian equity indexes were chosen due to the heavy dependence of these countries on Russian gas and oil. Design/methodology/approach The data cover the period from November 24, 2021, to June 24, 2022, including five months of the Russia–Ukraine war. To generate the intended results, vector autoregressive, structural vector autoregressive, vector error correction model, Johansen test and Granger causality test were used. Findings The results highlight that natural gas and the VIX carried negative effects on DAX, ATX and FTSEMIB. The BCO was expected to have influenced three selected equity indexes, while the results suggest that it was priced only in ATX. Originality/value This research provides modest evidence for the policymakers on the systemic risk that Russian gas has for the EU equity markets. From a managerial perspective, changes in oil and gas prices are a permanently integral part of portfolio risk analysis.

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俄乌战争的后果：来自DAX、ATX和FTSEMIB的证据

俄罗斯入侵乌克兰在欧洲金融体系中引发了前所未有的恐慌。不出所料，由于地理位置靠近乌克兰，能源依赖俄罗斯，欧盟(EU)受到的负面影响最大。本研究旨在探讨布伦特原油(BCO)、荷兰产权转让设施天然气(Dutch Title Transfer Facility Natural Gas)和CBOE波动性指数(VIX)对德国Aktien指数(DAX)、奥地利交易指数(ATX)和米兰交易所指数(FTSEMIB)的影响。之所以选择德国、奥地利和意大利股指，是因为这些国家严重依赖俄罗斯的天然气和石油。数据涵盖的时间为2021年11月24日至2022年6月24日，其中包括5个月的俄乌战争。为了得到预期的结果，我们使用了向量自回归、结构向量自回归、向量误差修正模型、约翰森检验和格兰杰因果检验。结果表明，天然气和VIX对DAX、ATX和FTSEMIB均有负向影响。BCO预计会影响三个选定的股票指数，而结果表明，它只在ATX定价。独创性/价值这项研究为政策制定者提供了有关俄罗斯天然气对欧盟股票市场构成系统性风险的适度证据。从管理的角度来看，石油和天然气价格的变化是投资组合风险分析的一个永久组成部分。

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.