乌克兰难民对邻国汇率和股票市场的影响

IF 2.3 Q2 BUSINESS, FINANCE
Catalin Gheorghe, Oana Panazan
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引用次数: 0

摘要

目的随着 2022 年 2 月 24 日俄乌军事冲突的爆发,来自乌克兰的个人纷纷迁移以寻求安全和避难。本研究旨在探讨乌克兰难民的涌入如何影响乌克兰邻国的股市和汇率:匈牙利、波兰、罗马尼亚和斯洛伐克。分析时间段为 2022 年 4 月 24 日至 12 月 31 日。在这一时期之后,难民的影响很小,微不足道。数据处理采用了小波相干性、小波功率谱和时变参数向量自回归方法。研究结果主要发现如下:乌克兰难民的动态与东道国股票指数和汇率的波动之间存在联系;在冲突开始后的头几周,所有分析国家的波动性都很大;匈牙利和波兰的波动性最大;难民对股票指数的影响比对汇率的影响更大。独创性/价值 据作者所知,这是首次研究乌克兰难民对所分析国家的股票市场和汇率波动的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Influence of Ukrainian refugees on the exchange rate and stock market in neighboring countries

Purpose

As the onset of the Russia–Ukraine military conflict on February 24, 2022, individuals from Ukraine have been relocating in search of safety and refuge. This study aims to investigate how the influx of Ukrainian refugees has impacted the stock markets and exchange rates of Ukraine's neighboring states.

Design/methodology/approach

The authors focused on the neighboring countries that share a western border with Ukraine and have received the highest number of refugees: Hungary, Poland, Romania and Slovakia. The analysis covered the period from April 24 to December 31, 2022. After this period, the influence of the refugees is small, insignificant. Wavelet coherence, wavelet power spectrum and the time-varying parameter vector autoregressions method were used for data processing.

Findings

The key finding are as follows: a link exists between the dynamics of refugees from Ukraine and volatility of the stock indices and exchange rate of the host countries; volatility was significant in the first weeks after the start of the conflict in all the analyzed states; and the highest volatility was recorded in Hungary and Poland; the effect of refugees was stronger on stock indices than that on exchange rates.

Originality/value

To the best of the authors’ knowledge, it is the first research that presents the impact of refugees from Ukraine on stock markets and exchange rates volatility in the countries analyzed.

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来源期刊
CiteScore
4.30
自引率
10.50%
发文量
43
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.
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