Russian roulette from the Euromaidan protest to the Ukraine invasion: Is it different this time?

Mohamad, Azhar (2022) Russian roulette from the Euromaidan protest to the Ukraine invasion: Is it different this time? In: International Society for Advancement of Financial Economics Conference (ISAFE-2022, 05-06 December 2022),, Ho Chi Minh University of Banking. (Unpublished)

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Abstract

We scrutinise the impact of two periods of Russo-Ukraine strife: (a) the Russo-Ukraine war that started in February 2022; and (b) the Euromaidan protest of November 2013, on the financial markets. We observe severe ramifications in terms of abnormal returns, price discovery and time-varying herding between certain group of assets. Whereas the US dollar and the yen consistently serve as safe haven assets (proxied by negative or low unconditional correlations) to opposing countries' stock indexes and currencies in both periods, we generally document heterogeneity in the financial assets' degree of response to them.

Item Type:	Conference or Workshop Item (Slide Presentation)
Subjects:	H Social Sciences > HG Finance > HG3810 Foreign exchange
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User:	Dr Azhar Mohamad
Date Deposited:	01 Aug 2023 11:14
Last Modified:	01 Aug 2023 11:14
URI:	http://irep.iium.edu.my/id/eprint/105708

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