Financial Market Turbulence in the Face of Geopolitical Shocks: The Dynamics and Assessment Criteria

Résumé fourni par la source

The aim of the article is to develop theoretical and methodological approaches to assessing the turbulence of financial markets and to substantiate the criteria for its measurement based on an empirical analysis of their dynamics. The article examines the peculiarities of the functioning and development dynamics of financial markets under conditions of global instability, increased geopolitical risks, and martial law. Theoretical approaches to interpreting the essence of turbulence in capital markets are generalized and systematized, which allowed clarifying its content as a complex phenomenon associated with sharp changes in volatility, liquidity, risks, and correlation interconnections between financial instruments. A system of criteria for assessing the turbulence of financial markets is proposed, which includes indicators of volatility, liquidity, yield spreads, as well as indicators of geopolitical tension. The advisability of integrating heterogeneous indicators within a single analytical approach is substantiated, which allows increasing the accuracy of assessing the state of financial markets. The key methodological limitations of existing approaches to measuring turbulence have been identified, and directions for overcoming them have been outlined. An empirical analysis of financial market dynamics has been conducted using modern econometric tools, which made it possible to identify the key determinants of turbulence and assess the strength of their impact. Within the framework of the study, an integrated financial market turbulence index has been developed, which is based on a multidimensional approach to aggregating indicators of volatility, liquidity, risk, correlation dependencies, and geopolitical factors. To ensure the statistical comparability of variables, a standardization procedure (Z-transformation) was applied, which allowed for neutralizing the influence of different measurement scales and increasing the accuracy of indicator integration. The proposed index serves as an efficient tool for identifying phases of turbulence and financial market stability, as well as providing the possibility for a formalized assessment of the level of financial instability. The decisive impact of the wartime factor and geopolitical shocks on the behavior of financial market participants has been substantiated. Based on the obtained results, practical recommendations have been developed aimed at increasing the resilience of financial systems and adapting to conditions of growing uncertainty.

Ce résumé expose les affirmations des auteurs. BNTIC ne l’interprète pas comme une validation indépendante des résultats.