IDEAS home Printed from https://ideas.repec.org/a/vrs/poicbe/v17y2023i1p1791-1806n43.html
   My bibliography  Save this article

The Impact of Russia’s Invasion of Ukraine on the Capital Markets from the CEE Countries

Author

Listed:
  • Puscasu Ela-Andrada

    (Bucharest University of Economic Studies, Bucharest, Romania)

Abstract

The price of stocks is a good indication of investors’ expectations for the evolution of capital markets, comprising their fears and hopes regarding future developments. The information regarding a disruptive event such as a military attack spreads rapidly across countries affecting investors’ perceptions and causing them to sell their stocks and target safer investments. The scientific literature on the topic is growing lately due to the ongoing Russo-Ukrainian war and its consequences. The research paper investigates the impact of Russia’s invasion of Ukraine on the capital markets from the Central and Eastern European region using the event study methodology. The paper studies the abnormal returns recorded by each capital market on the event day (February 24, 2022), as well as the cumulative abnormal returns for 6-day, 11-day and 16-day event windows following the attack. The findings show that most of the capital markets recorded sharp declines on the event-day, reaching a negative abnormal return event of 10% on February 24. For the longer event windows the negative impact persisted through cumulative abnormal returns recorded for most of the markets. The highest declines were recorded on the 6-day and 11-day event windows as all capital markets considered incorporating the bad news of the war outbreak and lost the initial hope of being a disinformation or a short-term military attack. Within 35 trading days following the invasion, 64% of the markets rebounded and returned to their pre-attack level. However, 4 capital markets recorded more than 200 trading days with a level lower than the one registered before the invasion. The paper contributes to literature extending the studies of capital markets’ behavior during military conflicts focusing on neighboring countries.

Suggested Citation

  • Puscasu Ela-Andrada, 2023. "The Impact of Russia’s Invasion of Ukraine on the Capital Markets from the CEE Countries," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 17(1), pages 1791-1806, July.
    • Handle: RePEc:vrs:poicbe:v:17:y:2023:i:1:p:1791-1806:n:43
    DOI: 10.2478/picbe-2023-0159
    as

    Download full text from publisher

    File URL: https://doi.org/10.2478/picbe-2023-0159
    Download Restriction: no
    File URL: https://libkey.io/10.2478/picbe-2023-0159?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Boubaker, Sabri & Goodell, John W. & Pandey, Dharen Kumar & Kumari, Vineeta, 2022. "Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 48(C).
    2. Lo, Gaye-Del & Marcelin, Isaac & Bassène, Théophile & Sène, Babacar, 2022. "The Russo-Ukrainian war and financial markets: the role of dependence on Russian commodities," Finance Research Letters, Elsevier, vol. 50(C).
    3. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    4. Christopher A. Hartwell, 2018. "The effect of political volatility on capital markets in EU accession and neighborhood countries," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 21(4), pages 260-280, October.
    5. Christopher A. Hartwell, 2018. "The effect of political volatility on capital markets in EU accession and neighborhood countries," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 21(4), pages 260-280, October.
    6. Bruno Frey & Marcel Kucher, 2001. "Wars and Markets: How Bond Values Reflect the Second World War," Economica, London School of Economics and Political Science, vol. 68(271), pages 317-333, August.
    7. Prados de la Escosura, Leandro & Rodríguez-Caballero, C. Vladimir, 2022. "War, pandemics, and modern economic growth in Europe," Explorations in Economic History, Elsevier, vol. 86(C).
    8. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. António Miguel Martins & Pedro Correia & Ricardo Gouveia, 2024. "The impact of the Russia–Ukraine war on the world’s largest listed insurance firms," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(4), pages 779-803, October.
    2. Martins, António Miguel & Correia, Pedro & Gouveia, Ricardo, 2023. "Russia-Ukraine conflict: The effect on European banks’ stock market returns," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
    3. Furdui Călin & Șfabu Dorina Teodora, 2023. "The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 68(1), pages 62-77, April.
    4. Hassan, M Kabir & Boubaker, Sabri & Kumari, Vineeta & Pandey, Dharen Kumar, 2022. "Border disputes and heterogeneous sectoral returns: An event study approach," Finance Research Letters, Elsevier, vol. 50(C).
    5. Kumari, Vineeta & Hassan, Majdi & Pandey, Dharen Kumar, 2024. "Are high-income and innovative nations resilient to the Russia-Ukraine war?," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1268-1287.
    6. Pandey, Dharen Kumar & Kumari, Vineeta & Palma, Alessia & Goodell, John W., 2024. "Are markets in happier countries less affected by tragic events? Evidence from market reaction to the Israel–Hamas conflict," Finance Research Letters, Elsevier, vol. 60(C).
    7. Abakah, Emmanuel Joel Aikins & Adeabah, David & Tiwari, Aviral Kumar & Abdullah, Mohammad, 2023. "Effect of Russia–Ukraine war sentiment on blockchain and FinTech stocks," International Review of Financial Analysis, Elsevier, vol. 90(C).
    8. Idil Uz Akdogan, 2023. "Monetary policy responses to COVID-19 in emerging European economies: measuring the QE announcement effects on foreign exchange markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(3), pages 625-655, August.
    9. Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
    10. Al-Ississ Mohamad, 2015. "The Cross-Border Impact of Political Violence," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 21(2), pages 239-272, April.
    11. Marta Anita Karaś & Michał Boda, 2024. "Stabilność i wyniki finansowe banków w krajach Europy graniczących z konfliktem militarnym w Ukrainie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 64-111.
    12. Chortane, Sana Gaied & Pandey, Dharen Kumar, 2022. "Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    13. Maneenop, Sakkakom & Kotcharin, Suntichai, 2020. "The impacts of COVID-19 on the global airline industry: An event study approach," Journal of Air Transport Management, Elsevier, vol. 89(C).
    14. Gokhale, Jayendra & Brooks, Raymond M. & Tremblay, Victor J., 2014. "The effect on stockholder wealth of product recalls and government action: The case of Toyota's accelerator pedal recall," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 521-528.
    15. Fan, Ying & Jia, Jun-Jun & Wang, Xin & Xu, Jin-Hua, 2017. "What policy adjustments in the EU ETS truly affected the carbon prices?," Energy Policy, Elsevier, vol. 103(C), pages 145-164.
    16. K. Chau & S. Wong & C. Yiu & Maurice Tse & Frederik Pretorius, 2010. "Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 480-496, May.
    17. Mateev, Miroslav & Andonov, Kristiyan, 2018. "Do European bidders pay more in cross-border than in domestic acquisitions? New evidence from Continental Europe and the UK," Research in International Business and Finance, Elsevier, vol. 45(C), pages 529-556.
    18. Xu, Mingli & Yang, Wei & Huang, Zhixiong, 2021. "Do investor relations matter in the tourism industry? Evidence from public opinions in China," Economic Modelling, Elsevier, vol. 94(C), pages 923-933.
    19. ATM Adnan, 2018. "Home vs. Cross-Border Takeovers: Is There Any Difference in Investor Perception?," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(2), pages 59-84.
    20. Khan, Zazy, 2015. "Activist Hedge Funds: Evidence from the Recent Financial Crisis," MPRA Paper 72025, University Library of Munich, Germany, revised 27 May 2016.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:poicbe:v:17:y:2023:i:1:p:1791-1806:n:43. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.