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The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach

Author

Listed:
  • Furdui Călin

    (Babeş-Bolyai University, Romania)

  • Șfabu Dorina Teodora

    (Babeş-Bolyai University, Romania)

Abstract

This paper evaluates the reaction of systemically important banks in Europe to the shock of the Russian invasion of Ukraine in 2022. Using the event study methodology and three of the most commonly used models for estimating theoretical returns (CAPM, Fama-French with 3 factors, Fama-French with 5 factors), we show that banks react differently relative to the event date (February 24, 2022) depending on the country. Overall, systemically important banks recorded massive cumulative abnormal returns in the event window. The results differ at the country level depending on the exposure of the respective banks to Russia, the dependence of countries on Russian gas and oil, and the level of informational efficiency of the markets on which they are traded.

Suggested Citation

  • 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.
    • Handle: RePEc:vrs:subboe:v:68:y:2023:i:1:p:62-77:n:3
    DOI: 10.2478/subboec-2023-0004
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    References listed on IDEAS

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    More about this item

    Keywords

    Event study; G-SIB’s; war; Russia; Fama-French models;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War

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