Financial and Trade Contagion Among Russia, United States, European Union, and ASEAN Countries: The Case of Russia-Ukraine War

This study investigates financial and trade contagions among the Russian, US, EU, and ASEAN markets during the Russia–Ukraine war period from January 1, 2021, to January 31, 2023. Daily closing prices of sample indexes are collected, and vector autoregressive (VAR) and multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models are applied to assess their impact on mean returns and shock transmission across the markets. Results indicate that the most suitable model is the MGARCH-CCC model, incorporating returns of oil and war crisis dummy variables in both mean and variance equations with high-frequency data. The study confirms the presence of contagion, as oil returns and war occurrence significantly affect market returns and induce high volatility across all sample markets, particularly during war-related oil price fluctuations.