The Ukraine war and European and United States stock market volatility
This study examines the relationship between the Russia-Ukraine war and volatility in the United States and European financial markets. On aggregate, on the one hand, the European stock market index volatility is more heavily influenced by events or news regarding the war. On the other hand, for the United States index, baseline volatility increased after the start of the war. The US index volatility experienced a limited to negligible influence on events or news regarding the war. While investors' volatility expectations are largely shared between the United States and Europe, the war only affected the expectations of European investors, although this effect is not pronounced. Results have implications for risk managers, policymakers, and investors, among others. Results can furthermore assist in forming volatility expectations during future wars.
Faculteit der Managementwetenschappen