Impact of Russia–Ukraine conflict on Russian financial market: Evidence from TVP-VAR and quantile-VAR analysis

Abstract

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.