Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war: international evidence

Rim El Khoury, Nohade Nasrallah, Khaled Hussainey, Rima Assaf

Research output: Contribution to journalArticlepeer-review


This study is epicentral to analyze the impact of the Russia–Ukraine war on the financial markets, specifically focusing on the connectedness and spillover dynamics of FinTech, Environmental, Social, and Governance (ESG), renewable energy, gold, and Morgan Stanley Capital International (MSCI) indices in developed and emerging countries. Data are collected from Thomson Reuters, ranging from May 8, 2020, to May 11, 2022, and a time-varying parameter vector autoregression (TVP-VAR) and the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) t-Copula (DCC-GARCH t-Copula) are used to analyze the data. The results show that FinTech, ESG, and MSCI are net transmitters in developed countries, whereas gold and renewable energy are net receivers pre- and during war periods. ESG and MSCI are net transmitters in emerging countries, while FinTech, renewable energy, and gold become net receivers in both periods. The hedging ratio sheds light on the costs and weights of efficient pair investments that might change in the context of each region and under the combined scenario. The study has important implications for merchant bankers, policymakers, investors, hedgers, and risk managers.

Original languageEnglish
Pages (from-to)279-317
Number of pages39
JournalJournal of International Financial Management and Accounting
Issue number2
Early online date26 May 2023
Publication statusPublished - 1 Jun 2023


  • connectedness
  • ESG
  • FinTech
  • gold
  • MSCI
  • renewable energy
  • Russia–Ukraine war

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