The effects of the war in Ukraine on the equity market in Poland

From Russia with Volatility: War-induced Spillovers to CEE Stock Markets

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 (PX), Hungary (BUX), Romania (BET), and Croatia (CROBEX) have been analyzed using daily closing price data obtained from Investing.com over the pre-war (February 24, 2016-February 24, 2019) and post-war (February 24, 2022-February 24, 2025) periods by employing the bivariate Full BEKK-GARCH model. By explicitly distinguishing between short-run shock effects and long-run volatility persistence, the study provides evidence on how geopolitical conflicts reshape regional risk transmission structures. The findings reveal a marked increase in volatility interactions following the outbreak of the war, particularly showing significant negative volatility spillovers from Russia to most CEE markets, indicating decoupling and defensive market behavior. As a robustness check, residual-based Granger causality tests derived from diagonal BEKK models support the core findings. The results demonstrate that geopolitical conflicts lead to structural changes in regional market linkages and highlight the need for stronger portfolio diversification strategies by investors and enhanced cross-border financial risk monitoring by policymakers during periods of war.

Common volatility analysis in emerging stock markets

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 a broad range of these assets or markets. We measure regional COVOL as an indicator of regional common risk and its factor loadings for emerging markets. Our empirical results indicate that COVID-19, major geopolitical events (Brexit, the US tax policy in 2025, and the ongoing Russia-Ukraine war), and global economic events (the 2008 GFC and oil market-related shocks) exert the strongest influence on the co-movement of emerging markets. Countries in the Middle East exhibit the highest exposure to regional COVOL, suggesting that investment diversification in these markets is relatively less effective at the regional level. Meanwhile, China, South Africa, and Hungary exhibit lower sensitivity.

Dynamic correlations of equity market and economic policy uncertainty in South America

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 returns, it relies on low-frequency data that cannot capture the immediate market response to high-stakes political episodes. The dynamic conditional correlation (DCC)-generalized autoregressive conditional heteroscedasticity model was used to estimate time-varying correlations between 5-year credit default swap (CDS) spreads and equity indices. To address endogeneity, two-stage least squares was used to examine how presidential elections and political episodes affect these correlations. The Argentine sample is shorter (July 2023 to August 2025) due to data availability for that country. High-frequency analysis revealed a persistent negative co-movement between EPU and equity markets across all three countries. Electoral episodes and social commotions generate statistically significant shifts in DCCs, with the intensity and persistence of these effects varying across institutional contexts. This study documents that abrupt shifts in the uncertainty-equity correlation during political episodes are detectable at daily frequency but absent from monthly analyses. The heterogeneous pattern of responses across Brazil, Chile, and Argentina advances understanding of how institutional fragility and macroeconomic conditions affect the transmission of political risk to financial markets. The study supports investors, risk managers, and regulators in emerging economies by offering a high-frequency framework for monitoring political risk. The findings provide a market-sensitive basis for portfolio management and regulatory oversight during electoral cycles and episodes of institutional instability. This study introduces a high-frequency methodological framework by employing fluctuations as a dynamic proxy for EPU, shifting the analysis from traditional low-frequency indices to a market-based metric capable of capturing real-time volatility. The findings expand the research field of political risk measurement in equity markets and provide practitioners with a more responsive tool for estimating the effects of political shocks.

The Dynamics of Oil Prices and Stock Markets in Selected Arab Countries: Evidence from the Fourier-Shin Co-integration Test

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 Jordan, Kuwait, Lebanon, Morocco, Qatar, and Tunisia. However, the DOLS estimator indicates no significant effect of oil prices on stock prices in Jordan, Morocco, Qatar, or Tunisia. This indicates that other macroeconomic or regional factors besides oil prices have a more dominant effect in these countries. It also indicates that sensitivity to energy prices may be limited. This study emphasises the importance of understanding the long-term effects of structural changes and external shocks, such as oil price fluctuations, on stock market dynamics in selected Arab countries.

Contagion and Spillover Effects of the Chinese Housing Crisis on the China‐Focused ETFs Trading in the United States

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 assess contagion and subsequently use Augmented GARCH and scalar‐BEKK models to quantify the extent of spillover effects. Our findings reveal that while the initial bond payment failure on September 23, 2021, likely affected ETF performance, the official default on December 9, 2021, precipitated a significant and acute decline in returns and an elevation in volatility. Correlation and VAR analyses underscore strong and intensifying linkages between the ETFs and the Chinese stock market, particularly during the crisis period. Furthermore, both the Augmented GARCH and scalar‐BEKK models robustly demonstrate a persistent and magnified transmission of volatility from the Chinese market to the ETF sector. This research offers critical insights for investors managing China‐related ETF volatility and emphasizes the need for policymakers to address systemic risks from the Chinese economy within the global financial system.

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