Valuation of European firms during the Russia–Ukraine war

Bougias, Alexandros; Episcopos, Athanasios; Leledakis, George N.

doi:10.1016/j.econlet.2022.110750

Cited by 26 publications

(14 citation statements)

References 14 publications

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“…Research focusing on regional markets or companies after the war has revealed negative aspects. Bougias et al (2022) conclude that the war caused greater volatility in assets and corporate security in European companies [27]. After the escalation of the dispute between Ukraine and Russia in 2022, Fang and Shao (2022) demonstrated increased volatility in the agricultural, energy, and extractive markets [28].…”

Section: Literaturementioning

confidence: 99%

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Panazan,

Gheorghe

2024

Mathematics

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This study investigates co-movements between the GPR generated by the Crimean Peninsula’s annexation in 2014, the Russia–Ukraine war in 2022, and the volatility of stock markets in the G7 states. Using wavelet analysis, concentrated co-movement was found for all indices in both periods. Contrary to the general perception, we find that the G7 financial market response in 2014 was robust. Using a time-varying parameter vector autoregression (TVP-VAR) test, we found a larger reaction in the amplitude of the G7 financial markets in 2022 than in 2014. The financial markets in France, Germany, and the UK showed a similar reaction in 2022. We have identified some common aspects, even if the political and military contexts of the two studied events were completely different. Our findings offer new and interesting implications for understanding how geopolitical risk affects financial assets for market participants with multiple investment horizons and strategies.

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Section: Literaturementioning

confidence: 99%

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Panazan,

Gheorghe

2024

Mathematics

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“…Because of the sanctions, Europe experienced a rising inflation rate and instability in the economy. Especially those effects are stronger for firms with large revenue exposure to Russia [1]. The Manufacturing and transportation sector were the most affected in Europe.…”

Section: Introductionmentioning

confidence: 98%

The Impact of Crude Oil Price Changes in The Yield and Fluctuation of Manufacturing and Transportation Industries

Lyu¹

2022

BCPBM

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Given that Russia was one of the largest oil exporters, has left the oil market unstable as the war between Russia and Ukraine intensifies. This report, studies the effect of the oil shock on returns and volatility of manufacturing and transportation industries of the US, to understand the relationship, lag, and intensity between these industries in conjunction with the Crude oil price in the international market. By using Time-Series data collected from NYME and constructing a VAR model, an ARIMA-GARCH model has been formulated using likelihood ratio lag of 12. The report finds out no significant relationship between the oil shock triggered by Russian-Ukrainian war on the US transportation and manufacturing industry. The Yield and Volatility of these two industries have not been driven due to exogenous factors, crude oil price. There is a possibility that the impact is lagged and hasn’t occurred yet or is too statistically small that it is hard to be captured by the model. The impact of exogenous shocks may be lagged much higher until it destabilizes these sectors. Government must set countermeasures based on lag effect as the impact is indirect.

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“…Literature shows that geopolitical conflicts have a great impact on the global stock market. From a microscopic perspective, the results show that the geopolitical conflict leads to a decline in the price of corporate securities and an increase in asset volatility, and therefore leads to a higher default probability and greater turmoil and uncertainty in the financial market [2]. As researchers had pointed out, the war-induced shock had a remarkable negative impact on major financial markets with a greater effect on volatility than returns, and the effect increased with the countries' increasing dependence on Russian commodities [3,4].…”

Section: Introductionmentioning

confidence: 99%

Regional Conflict and Financial Market Reaction: Evidence from China and US

Zhang¹

2022

BCPBM

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The conflict between Russia and Ukraine at the start of 2022 has largely influenced the global market, both the commodity market and stock market. Russia, as a major exporter of oil, has been sanctioned by the western countries which led to a sharp rise in the price of the crude oil. And the global capital market was affected consequently. This paper uses the Shanghai Stock Exchange Composite and the Shenzhen Stock Exchange Component Index in the Chinese market, and the Dow Jones Industrial Average, the Standard & Poor’s, and the National Association of Securities Dealers Automated Quotations in the American market to assess the impact of the geopolitical risk. Using these indices, this paper builds a VAR model to analyze the interaction of the index value and the oil price within a system, and to predict the further influence of the fluctuation in the price of the crude oil on the security market. An ARMA-GARCH model is also built to find out the change in stock market volatility induced by the oil price. This paper finds that the war-induced rise in the price of crude oil has a negative impact on the return of the security market both in China and the US while having little influence on the volatility.

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Valuation of European firms during the Russia–Ukraine war

Cited by 26 publications

References 14 publications

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

The Impact of Crude Oil Price Changes in The Yield and Fluctuation of Manufacturing and Transportation Industries

Regional Conflict and Financial Market Reaction: Evidence from China and US

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