Recently, energy security in Western Europe seems to be at risk. Around the turn of the year 2005/2006, the Russian freezing of natural gas exports to and via the Ukraine led to a European gas crisis, triggering off intensive debates about energy security all over Europe. Using an event study approach, we assess whether or not the Russian announcement of suspension of gas deliveries, this suspension itself as well as its withdrawal had an impact on West European utilities' as well as oil and gas companies' stocks. Besides the intention of putting the phenomenon of energy security on the agenda of economists dealing with financial markets, this paper should contribute to the methodological enhancements of event studies in the field of resource and environmental economics. In this respect, besides looking at stock returns, we consider autoregressive conditional heteroskedasticity in our methodological framework and assess event impacts on return volatility. We find that the announcement of the crisis accompanied by resource and electricity price increases and therefore a rise of Western Europe's energy risk and costs tended to increase market expectations with respect to energy-related firms. The renewal of gas deliveries increased market uncertainty. One factor behind these findings could be windfall profits of energy-related companies due to increasing resource and electricity prices. All in all, our results suggest that energy policy does not have to bear in mind negative effects for energyrelated firms in situations when security of energy supply is in danger. In contrast, our findings indicate that the energy sector may even profit from energy crises that induce resource price hikes. Given this, it is far from surprising that policy generally considers energy supply as a matter of public concern that should not fully be left to the strategic calculus of private companies.