The impact of the Russo-Ukraine conflicts on price discovery on the financial markets

Mohamad, Azhar (2025) The impact of the Russo-Ukraine conflicts on price discovery on the financial markets. Applied Economics Letters, 32 (17). pp. 2412-2420. ISSN 1350-4851 E-ISSN 1466-4291

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Abstract

This paper investigates the response of financial markets to two significant events within the Russo-Ukraine conflicts: the November 2013 Euromaidan protest and the February 2022 Russian invasion of Ukraine. Employing diverse methods, including event studies, price discovery models, and time-varying parameter regression, we analyse abnormal returns, price discovery, time-varying herding behaviour, and market dynamics across various financial instruments, such as stock indices, currencies, and commodities. Overall, the Russian invasion of Ukraine had a more pronounced impact on financial markets compared to the Euromaidan protest. Moreover, during both events, the US dollar and yen consistently functioned as safe-haven assets. The findings also reveal variations in the responses of different assets to the conflicts, indicating potential effects on market efficiency, investor perceptions, and expectations.

Item Type:	Article (Journal)
Uncontrolled Keywords:	War; Price discovery; Time-varying herding; Markov Chain Monte Carlo (MCMC); Russia-Ukraine
Subjects:	H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences > Department of Finance Kulliyyah of Economics and Management Sciences
Depositing User:	Dr Azhar Mohamad
Date Deposited:	09 Oct 2025 15:01
Last Modified:	09 Oct 2025 15:01
URI:	http://irep.iium.edu.my/id/eprint/123627

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