Abstract:
Purpose: This study examines how the Russia-Ukraine war impacted the
interconnectedness of stock markets, cryptocurrencies, and oil return volatility among
Asia Pacific economies including Hong Kong, Japan, Australia, New Zealand, South
Korea, China, India, Indonesia, Taiwan, Thailand, Singapore, Malaysia, and Vietnam.
Design/methodology/approach: Daily market price data from January 1, 2011, to
December 31, 2023, will be analyzed. The sample is divided into pre-pandemic
(2011-2019), COVID-19 (2020-2021), and Russia-Ukraine conflict (2022-2023)
periods. The methodology employs Diebold and Yilmaz's (2012) connectedness
approach of Time-Varying Parameter Vector Autoregression (TVP-VAR), refined by
Antonakakis et al. (2020) for dynamic estimation of evolving interdependencies.
Findings: The study demonstrated increased volatility spillovers between developed
and emerging markets, growing integration of cryptocurrencies with traditional
assets, and amplified impact of oil price fluctuations. The research revealed dynamic,
time-varying relationships among markets, highlighting the complex nature of cross
border financial interactions in the region.
Practical implications: The findings can help with regulation by developing
strategies to manage volatility transmission and risk across borders during political
crises in Asia-Pacific.
Originality value: This research will make an important contribution by examining
how different financial assets are impacted by geopolitical instability, especially in
the Asia-Pacific region. It brings together the effects on stocks, cryptocurrency, and
energy futures to fill an important gap in the literature. This gives a full picture of
how political tensions affect many financial areas in this region.
