The price of war: Effect of the Russia-Ukraine war on the global financial market

Rima Assaf, Deeksha Gupta and Rahul Kumar

The Journal of Economic Asymmetries, 2023, vol. 28, issue C

Abstract: We investigate the effect of the ongoing war between Russia-Ukraine on the global financial market as financial market is sensitive to extreme events and related news. In addition, we are examining the magnitude of war effect on different country groups. Taking the event of a Russian attack on Ukraine, we use the event study method to examine the price impacts of the Russia-Ukraine war 2022 on the global stock market. In addition, we examine the cross-sectional variation in abnormal returns using country-specific variables. Further, we conduct a robustness check to validate the main results for the cross-sectional variation. We find that stock indices show the negative AARs and CAARs after the announcement of the invasion. However, the magnitude of negative return varies for different regions. The developed countries experienced more negative price reactions than emerging countries. In addition, EMEA (Europe, Middle East, and Africa) is the most affected area on a geographical division basis, whereas the American division does not show significant price reactions. Further, countries with higher GDP experienced less sell-off in their indices. We also find that the trade-to-GDP ratio negatively impacts the abnormal returns in the post-event window, indicating that countries with more percentage of the trade in their GDP have been affected to a greater extent.

Keywords: Extreme events; Global financial market; Event study; Country-specific characteristics (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1703494923000403
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:28:y:2023:i:c:s1703494923000403

DOI: 10.1016/j.jeca.2023.e00328

Access Statistics for this article

The Journal of Economic Asymmetries is currently edited by A.G. Malliaris

More articles in The Journal of Economic Asymmetries from Elsevier
Bibliographic data for series maintained by Catherine Liu ().