The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach

Furdui Călin () and Șfabu Dorina Teodora
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Furdui Călin: Babeş-Bolyai University, Romania
Șfabu Dorina Teodora: Babeş-Bolyai University, Romania

Studia Universitatis Babeș-Bolyai Oeconomica, 2023, vol. 68, issue 1, 62-77

Abstract: This paper evaluates the reaction of systemically important banks in Europe to the shock of the Russian invasion of Ukraine in 2022. Using the event study methodology and three of the most commonly used models for estimating theoretical returns (CAPM, Fama-French with 3 factors, Fama-French with 5 factors), we show that banks react differently relative to the event date (February 24, 2022) depending on the country. Overall, systemically important banks recorded massive cumulative abnormal returns in the event window. The results differ at the country level depending on the exposure of the respective banks to Russia, the dependence of countries on Russian gas and oil, and the level of informational efficiency of the markets on which they are traded.

Keywords: Event study; G-SIB’s; war; Russia; Fama-French models (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 H56 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:subboe:v:68:y:2023:i:1:p:62-77:n:3

DOI: 10.2478/subboec-2023-0004

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