چكيده به لاتين
Over the past few decades, intermarket connectivity has increased in global financial markets, especially stocks, due to the development of information and communication technology and increased international trade. Extensive interconnections between international financial markets have been vital and necessary for investors and policy makers. Since crises, incidents, news, rumors, as well as shocks related to war affect the economy and financial markets, including stocks and goods, and cause fluctuations in financial markets, therefore, the study of the impact of war on market fluctuations and it has caused global fear, and it can also be important to examine the impact that war has had on the interrelationships of war-related data and financial and macroeconomic indicators. Russia's invasion of Ukraine specifically began on February 24, 2022. The war caused serious concern for the world. The war between Ukraine and Russia led to strong negative reactions in financial markets worldwide. Financial markets became more volatile than before. The prices of goods, including oil, gas, wheat, gold, interest rates and inflation rates increased sharply. This study was conducted in order to investigate the effect of the war between Russia and Ukraine and its related data as well as financial and macroeconomic indicators on the implied volatility index (vix) in the American market. First, the reliability of the data was checked using the unit root and autocorrelation test. To continue the research, to explain the relationship between the variables and the volatility index and to investigate the effect of war on this relationship, he used the multivariable linear regression model. Then, he investigated the interrelationships of data related to war, financial and macroeconomic indicators using auto-regression model. Then, shock analysis was done to determine how each of the variables of the autoregression model reacts to the shocks, and variance analysis was done to check the dynamics of the autoregression model. Also, the existence of a balanced relationship between the variables has been checked with the cointegration test. The data has been divided into two periods of five months before and after the war, and these two periods have been analyzed separately. The results show that the war had an effect on the volatility index (vix). Also, the war has affected data communication and the results before and after the war are different.
