Financial market spillovers and investor attention to the Russia-Ukraine War

Abstract

This study examines the impact of the Russia-Ukraine war on global commodity and financial markets by analysing the volatility and return spillovers of 26 assets across six different markets. We find significant increases in volatility spillovers after the invasion although increases in return spillovers were milder. Stock and currency markets were the leading spillover transmitters and receivers. Investor attention to the conflict played a large role in driving market spillovers, particularly in extreme quantiles. Meanwhile, uncertain market conditions seem to provide significant feedback to investor attention, resulting in amplified market risk. Our findings highlight the substantial effect of the Russia-Ukraine war on global market spillovers and the role of investor attention in shaping these dynamics.