Economic sanctions sentiment and global stock markets

Emmanuel Joel Aikins Abakah; Mohammad Abdullah; Imran Yousaf; Aviral Kumar Tiwari; Yanshuang Li

doi:10.1016/j.intfin.2023.101910

Economic sanctions sentiment and global stock markets

Emmanuel Joel Aikins Abakah, Mohammad Abdullah, Imran Yousaf, Aviral Kumar Tiwari, Yanshuang Li

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

This study explores the impact of Russia-Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time-varying influence on the G10 stock market. The results of the time–frequency quantile VAR (TF-QVAR) approach show a time-varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.

Original language	English
Article number	101910
Journal	Journal of International Financial Markets, Institutions and Money
Volume	91
DOIs	https://doi.org/10.1016/j.intfin.2023.101910
Publication status	Published - Mar 2024
Externally published	Yes

Keywords

Economic sanctions
Geopolitical conflict
Global equity markets
News sentiments
Russia-Ukraine war

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.intfin.2023.101910

Cite this

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title = "Economic sanctions sentiment and global stock markets",

abstract = "This study explores the impact of Russia-Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time-varying influence on the G10 stock market. The results of the time–frequency quantile VAR (TF-QVAR) approach show a time-varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.",

keywords = "Economic sanctions, Geopolitical conflict, Global equity markets, News sentiments, Russia-Ukraine war",

author = "Abakah, {Emmanuel Joel Aikins} and Mohammad Abdullah and Imran Yousaf and {Kumar Tiwari}, Aviral and Yanshuang Li",

note = "Publisher Copyright: {\textcopyright} 2023 Elsevier B.V.",

year = "2024",

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doi = "10.1016/j.intfin.2023.101910",

language = "English",

volume = "91",

journal = "Journal of International Financial Markets, Institutions and Money",

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T1 - Economic sanctions sentiment and global stock markets

AU - Abakah, Emmanuel Joel Aikins

AU - Abdullah, Mohammad

AU - Yousaf, Imran

AU - Kumar Tiwari, Aviral

AU - Li, Yanshuang

PY - 2024/3

Y1 - 2024/3

N2 - This study explores the impact of Russia-Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time-varying influence on the G10 stock market. The results of the time–frequency quantile VAR (TF-QVAR) approach show a time-varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.

AB - This study explores the impact of Russia-Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time-varying influence on the G10 stock market. The results of the time–frequency quantile VAR (TF-QVAR) approach show a time-varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.

KW - Economic sanctions

KW - Geopolitical conflict

KW - Global equity markets

KW - News sentiments

KW - Russia-Ukraine war

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DO - 10.1016/j.intfin.2023.101910

M3 - Article

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JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

M1 - 101910

ER -

Economic sanctions sentiment and global stock markets

Abstract

Keywords

UN SDGs

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