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Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach

Chiraz Lakhal & Imen Zorgati

International Journal of Computational Economics and Econometrics2025https://doi.org/10.1504/ijcee.2025.150023article
AJG 1ABDC C
Weight
0.37

What the paper says

This study examines the influence of the Russia-Ukraine conflict on the relationship between wheat prices and the stock markets of the G7 countries, employing the DCC-GARCH model with daily data spanning from January 1, 2020, to September 29, 2023. The results reveal a significant negative shock in the dynamic conditional correlation between wheat and the stock markets analysed, particularly in France, Germany, and Italy. These findings suggest that wheat can serve as an effective tool for mitigating portfolio risk. This research sheds light on the effects of geopolitical events on the dynamics of financial markets, especially in advanced economies. The findings have important implications for both portfolio management and policy formulation. Investors in stocks and commodities may benefit from the policy insights provided by this study, which could assist them in making informed investment decisions during periods of heightened volatility.

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https://doi.org/https://doi.org/10.1504/ijcee.2025.150023

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@article{chiraz2025,
  title        = {{Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach}},
  author       = {Chiraz Lakhal & Imen Zorgati},
  journal      = {International Journal of Computational Economics and Econometrics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1504/ijcee.2025.150023},
}

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Russia-Ukraine conflict, commodities and stock market: DCC-GARCH approach

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.