Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F75081431%3A_____%2F23%3A00002561" target="_blank" >RIV/75081431:_____/23:00002561 - isvavai.cz</a>
Result on the web
<a href="https://www-emerald-com.ezproxy.techlib.cz/insight/content/doi/10.1108/SEF-12-2022-0555/full/html" target="_blank" >https://www-emerald-com.ezproxy.techlib.cz/insight/content/doi/10.1108/SEF-12-2022-0555/full/html</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Consequences of the Russia-Ukraine war: evidence from DAX, ATX, and FTSEMIB
Original language description
Purpose: The Russian invasion of Ukraine generated unprecedented panic in the European financial system. As expected, the European Union (EU) felt most of the negative effects of the war due to geographical proximity to Ukraine and energy dependence on Russia. This study aims to investigate the influence of Brent crude oil (BCO), Dutch Title Transfer Facility Natural Gas, and CBOE Volatility Index (VIX) on Deutscher Aktien Index (DAX), Austrian Traded Index (ATX) and Milano Indice di Borsa (FTSEMIB). The German, Austrian and Italian equity indexes were chosen due to the heavy dependence of these countries on Russian gas and oil. Design/methodology/approach: The data cover the period from November 24, 2021, to June 24, 2022, including five months of the Russia–Ukraine war. To generate the intended results, vector autoregressive, structural vector autoregressive, vector error correction model, Johansen test and Granger causality test were used. Findings: The results highlight that natural gas and the VIX carried negative effects on DAX, ATX and FTSEMIB. The BCO was expected to have influenced three selected equity indexes, while the results suggest that it was priced only in ATX. Originality/value: This research provides modest evidence for the policymakers on the systemic risk that Russian gas has for the EU equity markets. From a managerial perspective, changes in oil and gas prices are a permanently integral part of portfolio risk analysis.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Studies in Economics and Finance
ISSN
1086-7376
e-ISSN
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Volume of the periodical
40
Issue of the periodical within the volume
3
Country of publishing house
GB - UNITED KINGDOM
Number of pages
20
Pages from-to
549-568
UT code for WoS article
000948301300001
EID of the result in the Scopus database
2-s2.0-85150601180