Economic sanctions sentiment and global stock markets

This study explores the impact of Russia -Ukraine war and sanctions news sentiments (RUWESsent) on global equity markets using three robust estimators. The quantile-on-quantile regression (QQR) results show that RUWESsent has heterogeneous effects on stock returns. The rolling window wavelet correlation (RWWC) indicates a time -varying influence on the G10 stock market. The results of the time-frequency quantile VAR (TF-QVAR) approach show a time -varying and heterogeneous connectedness. Moreover, RUWESsent acts as the net shock transmitter across extreme quantiles. These results give investors, regulators, and policymakers valuable insights into geopolitical events.