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Az európai uniós szankciók eseményhatás-elemzéssel történő vizsgálata
[Examining the effect of EU sanctions using the event study methodology]

Author

Listed:
  • Fűrész, Diána Ivett
  • Kiss, Dorina
  • Rappai, Gábor

Abstract

Tanulmányunkban azt vizsgáljuk, milyen hatással vannak az Európai Unió Oroszországgal szembeni szankciós intézkedései, illetve az ezekkel kapcsolatos hírek a gázpiaci árakra. Az eseményhatás-elemzés módszerének alkalmazásával elsősorban arra kerestük a választ, hogy a szankciókhoz köthető különböző "hírtípusok" (szankciós csomag lebegtetése, tartalmának ismertetése, majd elfogadása) eltérő módon okoznak-e szignifikáns hatást a gáz tőzsdei árfolyamára. A 24 kiválasztott eseményt három különböző modellvariánssal (piaci modell, GARCH, EGARCH), négy különböző ablakhossz (3, 5, 10 és 15 napos) alkalmazásával vizsgáltuk. Eredményeink igazolták feltevésünket, miszerint a szankciók hírének lebegtetése már önmagában árfelhajtó hatású, hasonlóan a másik két hírtípushoz.

Suggested Citation

  • Fűrész, Diána Ivett & Kiss, Dorina & Rappai, Gábor, 2024. "Az európai uniós szankciók eseményhatás-elemzéssel történő vizsgálata [Examining the effect of EU sanctions using the event study methodology]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 1032-1052.
    • Handle: RePEc:ksa:szemle:2207
    DOI: 10.18414/KSZ.2024.10.1032
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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