Li, ZhaohuaHu, BaidingZhang, YuqianYang, Wanyi2024-08-202024-08-172024-08-172024-08-151059-0560F1Y8B (isidoc)https://hdl.handle.net/10182/17475This 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.57 pagesen© 2024 Published by Elsevier Inc.spilloverdynamic connectednessinvestor attentionRussia-Ukraine warJournal Article10.1016/j.iref.2024.1035211873-8036ANZSRC::350204 Financial institutions (incl. banking)ANZSRC::350203 Financial econometricsANZSRC::3501 Accounting, auditing and accountabilityANZSRC::3502 Banking, finance and investmentANZSRC::3801 Applied economicshttps://creativecommons.org/licenses/by/4.0/Attribution