Contagion Effects Among Commodity Markets and Securities Markets During the Conflict Between Russia and Ukraine: The Dynamic Conditional Correlation Approach

The continuation of the Russia-Ukraine war has led to an interest in examining the impacts of this war on the volatilities of various financial markets from February 2022 to May 2022 by using pre-war and wartime data covering the period from January 2010 to May 2022, The commodity and securities markets are considered, and the dynamic correlation between the volatilities of different financial markets is measured using the dynamic conditional correlation (DCC) based on the multivariate GARCH model. The DCC allows analysis of the extent of the impact. Results indicate that all return series display persistently high volatility at values greater than 0.80. Comparing the extent of pre-war and wartime impacts, following the start of the war there appears to be an increase in the conditional correlations but a decrease in the correlation between the volatilities of several financial market pairs, indicating that the impact between these markets exists. Moreover, some assets can serve as a safe haven for other assets.