Abstract
This study conducted a time series analysis of the Dow Jones Industrial Average’s response to the Russia Ukraine conflict through the change in crude oil continuous contract price. The relevant data was derived from 1st November 2021 to 29th April 2022. The inputs were employed in the vector autoregressive model (VAR), autoregressive moving average models (ARMAX), and ARMA-GARCH model to quantitatively characterize the dynamic relationship between the daily rate of returns of DJI and crude oil price. The finding suggested that the stock market reacted volatilely during the early stages of the Russia Ukraine conflict, and later the market eased the volatility. The result provides critical implications for investors to hedge risks in their international portfolio diversification.
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