Expect the unexpected: Did the equity markets anticipate the Russo-Ukrainian war?

Marcell P. Granát, Kristóf Lehmann, Olivér Nagy and Gabor Neszveda

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: In 2022, Russian military operations began in Ukraine, which surprised some, while others might have expected it. We investigate whether the expectations began to be priced in the equity markets before the operations. To estimate the start of information incorporation, we use the adjusted returns of 62 country-level stock market data assuming informed traders using a non-linear model and rolling-window regressions. We find that the equity markets started to price the conflict at least 50 days before the invasion, and approximately one-third of the information was incorporated on the event day.

Keywords: Russia-Ukraine conflict; Information incorporation; Stock prices; Event study; Abnormal returns (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006736

DOI: 10.1016/j.frl.2023.104301

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