Risk Transmission to Fintech Firms: Is WAR Different From COVID?

This study’s main aim is to determine whether either the VIX (CBOE Volatility Index) in COVID-19 or the WAR, a reference to the Russian Invasion, had a more significant (negative) impact on Fintech firms’ returns. The primary research method is the DCC-GARCH model, which is used to determine the conditional correlation between Fintech firms’ returns and the VIX/OVX. We used nine Fintech firms from four different countries from December 13, 2019, to October 06, 2022. Our findings show that the VIX has an inverse impact on the returns of the Fintech sample in our study. For COVID, the war correlation remains above throughout the first half, while the situation changes during the second. We can also observe a drop in the correlation for COVID around day 30.