Border disputes and heterogeneous sectoral returns: An event study approach

Hassan, M. Kabir; Pandey, Dharen Kumar; Boubaker, Sabri; Kumari, Vineeta

doi:10.1016/j.frl.2022.103277

Cited by 45 publications

(19 citation statements)

References 32 publications

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“…Consequently, the local exposure before February 24th was positively associated with the CARs, and after that, it had a negative impact. We believe that these observations can be generalized in the context of geo political conflicts as similar observations have been put forward by (Hassan et al. , 2022) with reference to Indo China disputes.…”

Section: Resultssupporting

confidence: 82%

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

Yarovaya

Mirza²

2022

JRF

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PurposeThe purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.Design/methodology/approachUsing a comprehensive sample of 1,281 equity funds in 40 countries. The countries were segregated into conflict states, members of NATO, and those which abstained from voting on the UN resolution on March 2, 2022. The authors employ a GARCH-based event study and estimate CARs for t−5, t−3, t, t + 3, and t + 5 event windows. Further, the authors use panel estimation to assess the link between the CARs and the investment exposure of the sample funds.FindingsThe findings highlight an adverse reaction of mutual funds in Russia, Ukraine, and the NATO States. On the contrary, the mutual funds in the countries that abstained during the voting on the UN resolution on March 2nd posted positive abnormal returns. Similarly, the investment exposure towards the conflicted countries and NATO states is unfavorable except for the abstained countries.Originality/valueThis is the primary study to evaluate the impact of the recent geopolitical tensions on mutual funds domiciled across various geographical locations.

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Section: Resultssupporting

confidence: 82%

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

Yarovaya

Mirza²

2022

JRF

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“…Second, we contribute to the current literature on war events and financial markets (Ahmed et al , 2022; Boubaker et al , 2022; Boungou and Yatié, 2022; Hassan et al , 2002a; Tosun and Eshraghi, 2022; Umar et al , 2022b; Yousaf et al , 2022) by examining the magnitude and coverage of the war’s effect on bank stocks and analyzing the significance of market fall. This in-depth analysis shows the standard impact (signs) and, more importantly, the extent of the market reactions on the global banking stocks.…”

Section: Introductionmentioning

confidence: 99%

Market reaction to the Russian Ukrainian war: a global analysis of the banking industry

Boubaker

Nguyen²,

Trinh

et al. 2023

RAF

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Purpose The purpose of this paper is to study the market reactions of the banking industry to the Russian–Ukraine war. Design/methodology/approach This paper uses an event study methodology, regression analyses and interaction effects to study the effect of the war on banks stock prices and analyze factors that explain the cumulative abnormal return. Findings First, this study finds a significant decline of almost 1.5% in return on the war date. Similar patterns were observed for all continents, but Europe had the most severe drop of about 4%. Second, after excluding the contemporaneous influence of the whole market using the market model, global bank equities returns fell by about 1% on the war date, indicating that bank stocks were more severely impacted by the war than the average stock market. Net-of-market return approach further reveals that bank stock prices decreased 1.4% more on the event day compared to the prewar market average. Third, the impacts of the war and sanctions were persistent when the war continued. Banks stocks were most hit in Europe, Asia and North America. Originality/value This paper pioneers the study of the effect of the Russia–Ukraine war on the banking industry. This paper also analyzes the reaction pattern of bank stocks before, during and after the war to explain the behavior and expectations of investors toward the war.

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“… Boubaker, Goodell, Pandey, and Kumari (2022) , The conflict has generated negative anomalous returns in Russian invaded areas due to exposure to risk and reliance on trade, resulting in vulnerability to geopolitical concerns and trade reliance. The effect of border tension heterogeneously affects the stock market, while posing an overall negative effect, leading to increased risk and volatility resulting in higher returns during the post-event window ( Kumari, Pandey, Kumar, & Xu, 2022 ) ( Hassan, Boubaker, Kumari, & Pandey, 2022 ). However, in the case of an unexpected war's commencement, hostilities can cause stock prices to fall ( Brune, Hens, Rieger, & Wang, 2015 ).…”

Section: Discussionmentioning

confidence: 99%

Corporate vulnerability in the US and China during COVID-19: A machine learning approach

Khan

Segovia

Bhatti

et al. 2023

The Journal of Economic Asymmetries

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Border disputes and heterogeneous sectoral returns: An event study approach

Cited by 45 publications

References 32 publications

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict

Market reaction to the Russian Ukrainian war: a global analysis of the banking industry

Corporate vulnerability in the US and China during COVID-19: A machine learning approach

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