A Russian carol: impact and dependence on global equity markets during the Ukraine invasion

Abstract

PurposeThe authors present a study of the short-term impact of the Russian–Ukrainian war on global equity returns. The study aims to show that the conflict was priced into markets and whether the intensity of the impact depends on economic factors, such as dependence on gas, or/and political factors, such as belonging to the former Soviet power circle.Design/methodology/approachUsing the event study and a sample of 77 capital markets, accounting for over 99% of global capitalisation, the authors apply a system of seemingly unrelated regressions to the daily returns of the indices, isolating the short-term effect on the markets and finally apply cross-sectional methods to help determine the size and variability of the impact.FindingsThe authors show that the impact is concentrated around day zero but is relevant in the days before and after. In addition, the authors show that being in the Soviet orbit and NATO simultaneously, as well as having high gas consumption and importing gas from Russia were key factors for investors.Originality/valueThis study is the first to try to discern whether the impact on stock markets caused by the war in Ukraine is due to purely economic factors, especially energy, or whether there is also a geopolitical component. Specifically, whether the countries closest to Russia are being more threatened by the fact that they are closer to Russia.

Russia–Ukraine conflict and its impact on global inflation: an event study-based approach

“…Although the event's average impact is negative, the individual event reflects a heterogeneous impact on stock market returns. In another study, Ferrández Serrano and Angosto-Fernández (2022) reported a significant negative impact of the Russia–Ukraine war on market returns. Additionally, the authors highlighted the role of political and economic associations of countries with conflicting countries in their domestic market returns.…”

“…In recent years, several researchers have studied the impact of geopolitical conflicts such as war, border and trade disputes on the performance of stock markets (Boubaker et al, 2022;Ferr andez Serrano and Angosto-Fern andez, 2022;Gu et al, 2021;Hassan et al, 2022;Hudson and Urquhart, 2014;Kumari et al, 2022Kumari et al, , 2023Schneider and Troeger, 2006). For example, Kumari et al (2023) examined the impact of the Russian invasion of Ukraine in Feb 2022 on European stock market returns.…”

Russia–Ukraine war and the impact on Indian economy

“…These results have also been confirmed by Boungou and Yati e (2022), where study has additionally noted that the afflictions regarding stock returns are more extensive in the countries neighboring Russia and Ukraine and the UN members opposing Russia's actions. Serrano and Angosto-Fern andez (2022) provided results for the impact of the Russia-Ukraine war on global equities. The study noted that by altering the investors' usual projections, such conflicts make the markets uncertain.…”