This study investigates the association between the Russia-Ukraine war and the Polish stock market, distinguishing between energy price exposure and a geopolitical sentiment channel. Using daily data from 1 November 2021 to 31 January 2025 within a GARCH framework, it analyses return dynamics across sectoral indices. Energy-related sectors are more sensitive to oil, gas, and coal price movements, while firms linked to Ukraine appear exposed to gas-market fluctuations. A sentiment proxy based on Google searches for ‘Ukraine’ is associated with short-term declines in returns, followed by partial reversals, consistent with temporary overreaction, and coincides with movements in energy markets. Robustness checks confirm these patterns. The findings suggest that observed dynamics may be related to both energy-price developments and shifts in investor attention and uncertainty. Energy prices and sentiment factors may be relevant for risk assessment, with short-term reactions informative for trading and risk management.
This study investigates the volatility spillover dynamics between the Russian stock market and selected Central and Eastern European (CEE) markets in the context of the Russia-Ukraine war. The directional volatility transmissions from the IMOEX index, representing Russia, to the stock markets of Poland (WIG20), Czechia...
G. Özbek· İktisadi İdari ve Siyasal Ar...· 0 citations
This paper investigates whether emerging equity markets share a common volatility component and reexamines the major events that have most affected these markets over the past two decades. Common volatility is defined as the exposure of financial assets/markets to common shocks in volatility that simultaneously affect...
This study examines the dynamic relationship between economic policy uncertainty (EPU) and equity markets in Brazil, Chile, and Argentina within the context of presidential elections and political episodes from 2010 to 2025. While the literature establishes a negative correlation between policy uncertainty and equity r...
Cláudio Marcelo Edwards Barros, Luiz Fernando Gresczyszin· Revista Contabilidade &...· 0 citations
This study uses the Fourier-Shin (F-Shin) cointegration test to examine the long-term interaction between Brent crude oil prices and the equity markets of selected Arab countries, using data from January 2010 to December 2024. The findings reveal a long-term co-integration relationship between oil and stock prices in J...
T. Köse, A. Öztop, Süreyya İmre Bıyıklı· Istanbul Journal of Economic...· 0 citations
This study investigates the impact of China's recent real estate crisis, stemming from Evergrande's struggles, on the return and risk profiles of US‐listed exchange traded funds (ETFs) tracking Chinese stock market indexes. Analysing 26 funds from February 2, 2018 to December 31, 2024, we first employ a VAR model to...
