The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market

Luiz Gaio, Nelson Oliveira Stefanelli, Tabajara Pimenta, Carlos Alberto Grespan Bonacim and Rafael Confetti Gatsios

Finance Research Letters, 2022, vol. 50, issue C

Abstract: This paper investigates the impact of the Russia-Ukraine conflict on the stock market efficiency of six developed countries. The sample is composed of daily stock index data from the United States (US), United Kingdom, Germany, France, Italy and Spain. Market efficiency was analyzed by the multifractal structure of the series of returns in four periods (full series, COVID-19 outbreak, before the conflict and after the conflict). The results show the presence of multifractality of the index's return series in periods of crisis. The evidence rejects the market efficiency hypothesis and indicates the predictability of asset prices in times of instability and global financial crisis. Our findings can help fund managers, institutional investors, and investors in general to make decisions about asset allocation in times of crisis.

Keywords: Efficiency market; Russian-Ukraine conflict; Hurst exponent (search for similar items in EconPapers)
JEL-codes: C10 C22 C49 G12 G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004858

DOI: 10.1016/j.frl.2022.103302

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