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• W4377023553 abstract "ABSTRACTABSTRACTThis paper examines the European Union’s (EU) stock market connectedness before and after the Russian invasion of Ukraine. We used the frequency-domain spillover methodology of Baruník and Křehlík 2018 Baruník, J., and T. Křehlík. 2018. “Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk.” Journal of Financial Econometrics 16 (2): 271–96. doi:10.1093/jjfinec/nby001[Crossref], [Web of Science ®] , [Google Scholar] and an event-study approach. We find increased spillover effects, particularly for Central and Eastern European markets. In the long term, the structure of spillover transmission does not substantially change, but the invasion caused a transitory increase in stock market connectedness. We also find confirmation effects accompanied by a transitory decline in EU stock market returns. Although the invasion led to short-term market turbulence, the results indicate little signs of potentially harmful contagion.KEYWORDS: Contagiongeopolitical riskstock marketUkraine conflictwarJEL CLASSIFICATION: E44G11G40 AcknowledgmentsWe would like to thank the two anonymous reviewers for their helpful and insightful comments, Miruna Pochea who kindly reviewed the first version of our paper, and Christopher A. Hartwell, the editor of Eastern European Economics.Disclosure statementNo potential conflict of interest was reported by the authors.Additional informationFundingThe work of the second author was supported by a grant of the Ministry of Research, Innovation and Digitization, CNCS/CCCDI – UEFISCDI, project number PN-III-P1-1.1-TE-2019-0415, within PNCDI III.Notes on contributorsCecilia CiocîrlanCecilia Ciocîrlan is adjunct professor at Faculty of Management, National University of Political Studies and Public Administration (Bucharest, Romania). Her research interests include: international monetary and financial issues, political economy and educational dynamics.Mihai NițoiMihai Nițoi is researcher at Institute for World Economy and economist within the Office of the Romanian Fiscal Council. His research interests are related to monetary economics, macroeconomics, financial markets, and financial literacy." @default.
• W4377023553 created "2023-05-19" @default.
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• W4377023553 date "2023-05-17" @default.
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• W4377023553 title "Geopolitical Risk and Contagion: Evidence from European Stock Markets During the Ukrainian Crisis" @default.
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• W4377023553 doi "https://doi.org/10.1080/00128775.2023.2209074" @default.
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