TY - JOUR
T1 - Spillover analysis across FinTech, ESG, and renewable energy indices before and during the Russia–Ukraine war
T2 - international evidence
AU - El Khoury, Rim
AU - Nasrallah, Nohade
AU - Hussainey, Khaled
AU - Assaf, Rima
N1 - Publisher Copyright:
© 2023 John Wiley & Sons Ltd.
PY - 2023/6/1
Y1 - 2023/6/1
N2 - 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.
AB - 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.
KW - connectedness
KW - ESG
KW - FinTech
KW - gold
KW - MSCI
KW - renewable energy
KW - Russia–Ukraine war
UR - http://www.scopus.com/inward/record.url?scp=85160645535&partnerID=8YFLogxK
U2 - 10.1111/jifm.12179
DO - 10.1111/jifm.12179
M3 - Article
AN - SCOPUS:85160645535
SN - 0954-1314
VL - 34
SP - 279
EP - 317
JO - Journal of International Financial Management and Accounting
JF - Journal of International Financial Management and Accounting
IS - 2
ER -