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In this paper, we use a two-phase model to study the impact of the Russia–Ukraine conflict on stock volatility. Our results show that the conflict reduces stock volatility initially, but increases it after Russia invaded Ukraine. Then, we construct risk transmission networks of different periods to explore the changes of transmission roles. Finally, we combine the results of historical outcomes mapping and frequency decomposition analysis to investigate the impact mechanisms between the Russia–Ukraine conflict and stock volatility. We also propose a possible interpretation for the War Puzzle, namely the sustained stability of the long-term connectedness component during war shocks.
Wu et al. (Sun,) studied this question.