Energy Supply Shock on European Stock Markets: Evidence from the Russia–Ukraine War

Fabrizio Rossi, Yinan Ni, Antonio Salvi, Yanfei Sun and Richard Cebula ()
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Fabrizio Rossi: Department of Economics, Business, Mathematics and Statistics, University of Trieste, 34127 Trieste, Italy
Yinan Ni: Department of Finance, Lewis University, Romeoville, IL 60446, USA
Antonio Salvi: Department of Management “Valter Cantino”, University of Turin, 10124 Turin, Italy
Yanfei Sun: Department of Finance, Toronto Metropolitan University, Toronto, ON M5B 2K3, Canada

JRFM, 2025, vol. 18, issue 5, 1-17

Abstract: This study empirically investigates the impacts of the Russia–Ukraine war on the performance of brown and green stocks in Europe. Analyzing stocks listed on exchanges in 25 European countries, we find that, prior to this war, stocks of more energy-dependent firms (brown stocks) yielded higher returns compared to those of less energy-dependent firms (green stocks). However, after the unexpected Russian invasion, brown stocks underperformed relative to green stocks. As the conflict reached a stalemate and energy supplies were restored, brown stocks regained their advantage over green stocks. Additionally, brown stocks exhibited greater volatility following the invasion. Utilizing various factor models, we identify a pronounced negative energy risk premium during the initial Russia–Ukraine war outbreak period. This study highlights the dynamic stock market responses to energy supply and regulatory changes in Europe, reflecting the market’s evolving perception of energy supply risks and regulatory risks linked to the transition towards a net-zero economy.

Keywords: Russia–Ukraine war; stock markets; energy supply; carbon risk transition; event study (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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