Comprehensive analysis of global stock market reactions to the Russia-Ukraine war

ABSTRACT

Since the explosion of the Russia-Ukraine war, the global stock markets have experienced considerable oscillation. Using data for 86 countries, this paper provides a comprehensive analysis to identify the roles of geopolitical, economic, institutional, humanitarian, industrial, and firm-related factors in explaining the heterogeneous abnormal returns for listed firms around the explosion of the war.

KEYWORDS:

• Russia-Ukraine war
• global stock markets
• publicly-listed firms
• abnormal returns

JEL CLASSIFICATION:

• G14
• G15
• G12

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ https://www.nytimes.com/2022/02/24/world/europe/russian-invasion-ukraine-refugees.html

² The limitation of using the sample of global stock markets is that empirical results may should be interpreted with caution due to differences in terms of efficiency between the developed and emerging stock markets. An exhaustive list of countries in our sample is given in Table A4.

³ https://www.reuters.com/world/europe/russias-putin-authorizes-military-operations-donbass-domestic-media-2022-02-24/

⁴ Countries’ attitudes towards Russia are evaluated by Economist Intelligence Unit. See https://www.economist.com/graphic-detail/2022/04/04/who-are-russias-supporters

⁵ https://data2.unhcr.org/en/situations/ukraine#_ga=2.3039798.764222218.1648749561-1887574490.1648749561

⁶ The restriction of 1500 km helps us to exclude the possibility that the effect of refugees comes from countries’ adjacency to the battlefield. Following Wang and Zhao (2013), we consider 1500 km and results are robust for 1250 km, 1750 km, etc (See Table A7 and A8).

⁷ https://en.wikipedia.org/wiki/List_of_companies_that_applied_sanctions_during_the_Russo-Ukrainian_War

⁸ The dates of announcements are collected by authors from firms’ homepage, and the levels of sanctions are decided according to a list published by Jeffrey Sonnenfeld and Yale Research Team. See https://som.yale.edu/story/2022/over-750-companies-have-curtailed-operations-russia-some-remain

Additional information

Funding

This work was supported by the Social Science Fund of Zhejiang Province [17NDJC191YB].