The price reaction and investment exposure of equity funds evidence from the Russia–Ukraine military conflict
The price reaction and investment exposure of equity funds evidence from the Russia–Ukraine military conflict
Purpose: the purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.
Design/methodology/approach: using a comprehensive sample of 1,281 equity funds in 40 countries. The countries were segregated into conflict states, members of NATO, and those which abstained from voting on the UN resolution on March 2, 2022. The authors employ a GARCH-based event study and estimate CARs for t-5, t-3, t, t + 3, and t + 5 event windows. Further, the authors use panel estimation to assess the link between the CARs and the investment exposure of the sample funds.
Findings: the findings highlight an adverse reaction of mutual funds in Russia, Ukraine, and the NATO States. On the contrary, the mutual funds in the countries that abstained during the voting on the UN resolution on March 2nd posted positive abnormal returns. Similarly, the investment exposure towards the conflicted countries and NATO states is unfavorable except for the abstained countries.
Originality/value: this is the primary study to evaluate the impact of the recent geopolitical tensions on mutual funds domiciled across various geographical locations
Russia-Ukraine, conflict, equity funds performance
669-676
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Mirza, Nawazish
9c037ffb-1791-4e76-bae6-9fb0addd0c70
31 October 2022
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Mirza, Nawazish
9c037ffb-1791-4e76-bae6-9fb0addd0c70
Yarovaya, Larisa and Mirza, Nawazish
(2022)
The price reaction and investment exposure of equity funds evidence from the Russia–Ukraine military conflict.
Journal of Risk Finance, 23 (5), .
(doi:10.1108/JRF-07-2022-0174/full/html).
Abstract
Purpose: the purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.
Design/methodology/approach: using a comprehensive sample of 1,281 equity funds in 40 countries. The countries were segregated into conflict states, members of NATO, and those which abstained from voting on the UN resolution on March 2, 2022. The authors employ a GARCH-based event study and estimate CARs for t-5, t-3, t, t + 3, and t + 5 event windows. Further, the authors use panel estimation to assess the link between the CARs and the investment exposure of the sample funds.
Findings: the findings highlight an adverse reaction of mutual funds in Russia, Ukraine, and the NATO States. On the contrary, the mutual funds in the countries that abstained during the voting on the UN resolution on March 2nd posted positive abnormal returns. Similarly, the investment exposure towards the conflicted countries and NATO states is unfavorable except for the abstained countries.
Originality/value: this is the primary study to evaluate the impact of the recent geopolitical tensions on mutual funds domiciled across various geographical locations
Text
Manuscript pre-print JRF
- Accepted Manuscript
More information
Accepted/In Press date: 8 September 2022
e-pub ahead of print date: 26 September 2022
Published date: 31 October 2022
Keywords:
Russia-Ukraine, conflict, equity funds performance
Identifiers
Local EPrints ID: 471990
URI: http://eprints.soton.ac.uk/id/eprint/471990
ISSN: 1526-5943
PURE UUID: 5396756f-6e2c-48e5-9c9c-9e8f19fed711
Catalogue record
Date deposited: 23 Nov 2022 17:41
Last modified: 17 Mar 2024 03:54
Export record
Altmetrics
Contributors
Author:
Nawazish Mirza
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics