THE RUSSIAN-UKRAINE INVASION AND STOCK MARKET BEHAVIOUR: An Empirical Assessment of the European Market
- Dhanraj Sharma
- Ruchita Verma
- Muhammed Shanib
- ( paper pages. 233 - 262 )
Abstract
The Russia-Ukraine
conflict has exacerbated disruptions in the world rrder, and has caused massive
shocks for the global stock market after the outbreak of COVID-19 and the Iraq-Afghanistan
war. The present research analysed the response of stock markets of European
countries to the Russia –Ukraine war, considering the 33 major stock exchanges
of the European market, using the event study approach. Further panel
regression was also utilized based on 6534 variable-wise observations to
evaluate the impact of specific determinants, such as fatalities and injury
cases, geo-political risk, and volatility index, on abnormal returns of stock
markets in European countries. The main findings of the study revealed that Hungary, Austria, Croatia, Portugal, Denmark, Switzerland,
Serbia and Sweden were among the highly-affected European countries, yielding abnormal
losses ranging from 6% to 11.1% during the event windows after the commencement
of the war. The results of panel regression show that fatalities and injury and
geo-political risk had statistically significant effect on abnormal returns of
European stock markets. This study has practical implications for investors and
policy makers to comprehend the tendency of the financial markets during
distress periods.
Citation
Dhanraj Sharma, Ruchita Verma, Muhammed Shanib.
2024.
"THE RUSSIAN-UKRAINE INVASION AND STOCK MARKET BEHAVIOUR: An Empirical Assessment of the European Market"
The Nigerian Journal of Economic and Social Studies,
66 (2): 233 - 262.
JEL Classification
F30, G12, G14, G15
