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Library's collection Library's IT development CancelPurpose – This paper aims to examine how geopolitical events such as the Russia-Ukraine conflict influence the volatility of stock market sectoral indices in the three most affected sectors of G20 countries. Additionally, this paper also investigates the possible reasons for any similarities or differences in the results of the three sectors.
Design/methodology/approach – In measuring stock market sectoral index price (SIP), this paper utilizes the daily closing price of the indices, collected from a financial market platform, Investing.com. The Russia-Ukraine conflict is measured through three independent variables, namely geopolitical risk (GPR) derived from MatteoIacoviello.com, as well as commodity price (CP) and foreign exchange rate (FER) collected through Bloomberg Terminal Database. 17 countries from G20 are analysed with a daily timeframe from September 2021 to August 2022 (before and during the Russian invasion).
Findings – The results revealed that FER, CP, and GPR all affect SIP, but the level of significance and positive/negative signs vary in all three sectors. FER positive significantly affect SIP in all sectors. CP negative significantly affect SIP in energy sector, whereas GPR negative significantly affect SIP in energy and transportation sectors. Adjusted R-squared comparison shows that the research model utilized in this study best fit transportation sector.
Research limitations/implications – The Russia-Ukraine conflict is still a fairly new topic and is still on-going on the day that this study is published. The timeframe used in this research is also limited due to time and information restrictions. Future researchers may use a longer timeframe and conduct a more in-depth analysis for every country in G20 instead of a general analysis.
Originality/Value – Past papers have examined the effect of Russia-Ukraine conflict towards stock market price, but only focusing on European countries. In addition, past papers typically use the aggregate stock indices instead of sectoral indices. As such, this paper offers a new perspective of analyzing G20 countries focusing on top three most affected sectors.