Ujkan Q. Bajra

Purpose: This study aims to investigate the dynamic interconnectedness and risk transmission mechanisms among major global equity indices over a comprehensive period (1997–2024). By spanning nearly three decades, the research distinguishes how systemic risk propagates during both financial and non-financial global crises. Design/methodology/approach: The analysis uses a Time-Varying Parameter Vector Autoregressive (TVP-VAR) framework. This methodology allows for the capture of evolving connectedness patterns and shifts in spillover intensity across different market regimes, providing a granular view of how return shocks transition between stability and turbulence. Findings: The results reveal that financial crises, notably the 2008 Global Financial Crisis, are characterized by intense linkages centered around developed markets (S&P 500, DAX, FTSE 100), which act as primary transmitters of systemic risk. In contrast, emerging markets (KOSPI, IBOVESPA) predominantly function as shock absorbers. Non-financial crises display distinct transmission signatures: the COVID-19 pandemic triggered universal spillovers, while geopolitical events, such as the Russia-Ukraine war, localized risk within European indices (DAX, CAC 40). Additionally, the Dotcom Bubble underscored the role of sector-specific volatility, with the NASDAQ serving as the epicenter of contagion. Originality/value: This research contributes to the literature by providing a long-term comparative taxonomy of risk transmission across diverse crisis types. By isolating the idiosyncratic behaviors of markets during financial versus non-financial shocks, the findings offer critical insights for institutional investors and policymakers regarding portfolio diversification and the limits of financial resilience in an increasingly integrated global economy.

This study measures the spillover effects of the Russia-Ukraine war and the COVID-19 pandemic on currency pairs as the Russian ruble, Czech koruna, Polish zloty, Hungarian forint, Swedish krona, Bulgarian lev, Danish krone, Romanian leu, Ukrainian hryvnia, and Turkish Lira. By employing the TVP-VAR model we investigate the dynamic connectedness among these currencies and key energy and agricultural commodities. The data series encompasses two consecutive non-economic shocks – the Ukraine war and the COVID-19 pandemic – and a preceding period of general stability during 2018 and 2019. The importance of geopolitical context in shaping currency dynamics was present in countries with heavy dependence on Russian gas. The findings indicate a limited direct impact of commodity price fluctuations on the value of these currencies. At the same time, geopolitical decisions primarily related to the Russian Ruble and energy dependencies significantly impacted their valuation. The study reveals the complexity of currency dynamics and the influence of geopolitical risks and global health crises on exchange rate volatility and commodity dependencies.

This study investigates whether compliance with the Sarbanes–Oxley Act of 2002 (SOX) sections 302 (financial reporting) and 404 (internal controls) enhances both corporate governance and financial reporting integrity (FRI). It is focused on EU publicly traded companies that are cross‐listed in the US markets. Using a novel approach with respect to operationalization of the SOX, the empirical research integrated into this paper advances the understanding of financial reporting integrity for both practitioners and policymakers. The study argues that financial reporting integrity increased after SOX entered into force but, notably, we find that financial statement assertions improve with compliance with SOX302 but not with SOX404. Examination of the latter relationship at the subsection level also reveals that compliance with certain SOX requirements is not satisfactory.

Purpose: The stability of exchange rates facilitates international trade, diminishes portfolio risk, and ensures that economic policies are effective. The war in Ukraine is showing that the European financial system is still fragile to external shocks. This paper examines the consequences of the Russian invasion of Ukraine on five Euro exchange rates. The final goal is to empirically test whether the ruble caused the euro to depreciate with the Russian invasion of Ukraine.Design/methodology/approach: The exchange rates analyzed are Euro/Russian Ruble, Euro/US Dollar, Euro/Japanese Yen, Euro/British Pound, and Euro/Chinese Yuan. The data collected are daily and cover the period from November 1, 2021, to May 1, 2022. In this context, the changes in the FX rates reflect two months of the ongoing war in Ukraine. The FX rates used in the study contain 137 observations indicating five months of daily series.Findings: The results from impulse response function, variance decomposition, SVAR, and VECM indicate that the EUR/RUB significantly influenced the Euro devaluation. On the other side, the FX rates used in our work altogether hold long-run cointegration. The situation is different in the short run, where only EUR/RUB, EUR/USD, and EUR/CNY possess significant relations with other parities.Originality/value: The Ruble is not among hard currencies, but its position strengthened during this period due to the importance of Russian gas to the Eurozone. The results indicate that even weak currencies can be influential depending on the geopolitical and economic situation. To this end, diversification remains a valid concept not only in portfolio construction but also for the preservation of the national economy.