The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach
The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach
In this paper we examine the impact of the breakout of the conflict between Russia and Ukraine on the G20 and other selected stock markets using the event study approach. The analysis of the abnormal returns (AR) before and after the launch of the ‘special military operation’ by Russian military forces on the 24th of February 2022 revealed a strong negative impact of this military action on a majority of the stock markets, especially on the Russian market. The aggregate stock market analysis indicates a significant and negative impact of the Russia–Ukraine conflict on the event day and post event days. The country-wise analysis demonstrated that the stock markets of Hungary, Russia, Poland, and Slovakia were first to react in anticipation of the military actions in Ukraine, showing negative returns in pre- event days already, whereas the stock markets of Australia, France, Germany, India, Italy, Japan, Romania, South Africa, Spain, and Turkey were adversely affected in the post-invasion days. Finally, the regional analysis indicates that the European and Asian regions are significantly and adversely affected by this event.
Black swan event, Event study, Market reaction, Russia–Ukraine conflict, Stock markets
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Patel, Ritesh
d835aa8d-c47b-4a6b-a9ec-6dcf62962f02
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
10 September 2022
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Patel, Ritesh
d835aa8d-c47b-4a6b-a9ec-6dcf62962f02
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Yousaf, Imran, Patel, Ritesh and Yarovaya, Larisa
(2022)
The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach.
Journal of Behavioral and Experimental Finance, 35, [100723].
(doi:10.1016/j.jbef.2022.100723).
Abstract
In this paper we examine the impact of the breakout of the conflict between Russia and Ukraine on the G20 and other selected stock markets using the event study approach. The analysis of the abnormal returns (AR) before and after the launch of the ‘special military operation’ by Russian military forces on the 24th of February 2022 revealed a strong negative impact of this military action on a majority of the stock markets, especially on the Russian market. The aggregate stock market analysis indicates a significant and negative impact of the Russia–Ukraine conflict on the event day and post event days. The country-wise analysis demonstrated that the stock markets of Hungary, Russia, Poland, and Slovakia were first to react in anticipation of the military actions in Ukraine, showing negative returns in pre- event days already, whereas the stock markets of Australia, France, Germany, India, Italy, Japan, Romania, South Africa, Spain, and Turkey were adversely affected in the post-invasion days. Finally, the regional analysis indicates that the European and Asian regions are significantly and adversely affected by this event.
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Accepted/In Press date: 16 July 2022
e-pub ahead of print date: 22 July 2022
Published date: 10 September 2022
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© 2022 The Authors
Keywords:
Black swan event, Event study, Market reaction, Russia–Ukraine conflict, Stock markets
Identifiers
Local EPrints ID: 469927
URI: http://eprints.soton.ac.uk/id/eprint/469927
ISSN: 2214-6350
PURE UUID: 13c0c232-e0c1-4784-b3c5-d6dbc7957454
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Date deposited: 28 Sep 2022 17:06
Last modified: 17 Mar 2024 03:54
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Author:
Imran Yousaf
Author:
Ritesh Patel
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