Impact of International Commodity Markets on the Russian Stock Market: Evidence from the Russia-Ukraine War
This paper examines the effects of International commodity markets on the Russian stock market (RSM) during the uncertainty stemming from the Russia-Ukraine conflict. The study found higher negative connectedness between RSM and commodities during the war. The level of connectedness and its effect on pre-war and during-war periods differs across different commodities, which depends on the categories of commodities (Agriculture, Industrial, Precious Metal and Energy); international trade mode (Import and Export) and magnitude of trading. The level of connectedness reduces and turn to be negative during the war period. Due to negative connectedness the investors can have the portfolio diversification to Agricultural, industrial, precious metal and energy commodities along with Russian stock market. The results have implications for the portfolio managers and policymakers regarding the investment decision and portfolio diversification.
JEL Codes: G11, G15, H56, P18, Q02
Keywords - Stock market, Commodities, War, Ukraine, Russia.