الملخص الإنجليزي
Abstract:
The main aim of this study is to measure the dynamic connectedness and spillover effects among
emerging stock markets in Asia and the developed stock markets of the US and Europe in the
ongoing Ukrainian crisis. The paper also aims to provide a comparative analysis of return and
volatility spillovers during the global financial crisis in 2008, the COVID-19 pandemic, and the
Ukrainian crisis. This paper utilizes the multiple structural beak test of Bai & Perron (2003) and also
depicts the risk and return transmissions among these markets using the Diebold & Yilmaz (2012)
method. The main outcomes of this study indicate that the stock markets in Asia are less affected by
the political crisis in Ukraine as compared to the previous effects during the GFC and COVID-19
periods. The results also show that sensitivity of Asian financial markets to global shocks has been
weakened in the wake of the Ukrainian crisis in favour of increased resilience of Asian stock indices
to external shocks. These results carry an important implication for international and local investors
as well as for policy makers in Asia, where investors have greater potentials for portfolio diversify
and risk reduction across Asian markets.
