Market Reaction To The Russian Vs Ukrainian War
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Aug 11, 2022
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Abstract
The purpose of this study is to investigate the impact of the Russian invasion of Ukraine on the Indonesian capital market. The sample employs Index 30 because it represents a group of companies with strong fundamentals and high liquidity. Using the event study research method, t = 0 is determined using the date of Russia's initial invasion of Ukraine, which occurred on February 24, 2022. In addition, this study uses secondary data from Yahoo Finance. Market model approach with an ordinary least square method is used to find abnormal returns in this research. Utilizing statistical testing using SPSS, the results revealed a significant negative reaction at t-3, or three days prior to Russia's invasion of Ukraine. In contrast, there was no significant difference between abnormal returns before and after the occurrence.
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Kharisma, G., Arum Pujiastuti and Feri Tristiawan (2022) “Market Reaction To The Russian Vs Ukrainian War”, Jurnal Mantik, 6(2), pp. 2236-2241. doi: 10.35335/mantik.v6i2.2764.
References
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[11] Hudson, R., & Urquhart, A. (2015). War and stock markets: The effect of World War Two on the British stock market. International Review of Financial Analysis, 40, 166-177. doi:https://doi.org/10.1016/j.irfa.2015.05.015
[12] Jayakody, S. G. (2017). The impact of the Sri Lankan civil war on the stock market performances. International Journal of Economics and Financial Issues, 7(1), 394-402.
[13] Kollias, C., Kyrtsou, C., & Papadamou, S. (2013). The effects of terrorism and war on the oil price–stock index relationship. Energy Economics, 40, 743-752. doi:https://doi.org/10.1016/j.eneco.2013.09.006
[14] Le Bris, D. (2012). Wars, inflation and stock market returns in France, 1870–1945. Financial History Review, 19(3), 337-361. doi:10.1017/S0968565012000170
[15] MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13-39. Retrieved from http://www.jstor.org/stable/2729691
[16] Octavianus, H. (2021). Telaah Literatur Efficient Market Hypothesis. Econ - Science topic(November). doi:10.13140/RG.2.2.17253.93925
[17] Peiris, T. (2012). An Empirical Investigation of News Impact on Stock Market Volatility during War and Post-war Periods in Sri Lanka. Paper presented at the International Conference on Business & Information.
[18] Schneider, G., & Troeger, V. E. (2006). War and the world economy: Stock market reactions to international conflicts. Journal of conflict resolution, 50(5), 623-645.
[19] Simeunovic, K. (2016). An analysis of the effect of war on the United States Stock Market. Lake Forest College,
[2] Beaver, W., Eger, C., Ryan, S., & Wolfson, M. (1989). Financial Reporting, Supplemental Disclosures, and Bank Share Prices. Journal of Accounting Research, 27(2), 157-178. doi:10.2307/2491230
[3] Boungou, W., & Yatié, A. (2022). The impact of the Ukraine–Russia war on world stock market returns. Economics Letters, 215, 110516.
[4] Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417. doi:10.2307/2325486
[5] Federle, J., Meier, A., Müller, G. J., & Sehn, V. (2022). Proximity to War: The stock market response to the Russian invasion of Ukraine.
[6] Frey, B., & Kucher, M. (2001). Wars and markets: How bond values reflect the Second World War. Economica, 68(271), 317-333.
[7] Guidolin, M., & La Ferrara, E. (2010). The economic effects of violent conflict: Evidence from asset market reactions. Journal of Peace Research, 47(6), 671-684. doi:10.1177/0022343310381853
[8] Gumanti, T. A., & Utami, E. S. (2002). Bentuk Pasar Efisiensi dan Pengujiannya. Jurnal akuntansi dan Keuangan, 4(1), 54-68.
[9] Hanedar, A. Ö., & Yald?z Hanedar, E. (2017). Stock market reactions to wars and political risks: A cliometric perspective for a falling empire. MPRA: Munich Personal Repec Archieve, 85600, 1-19.
[10] Hewage, J., & Fernando, C. (2018). Long-Run Performance and Impact of War on Risk-Return Characteristics of Initial Public Offerings in an Emerging Market: Evidence from Colombo Stock Exchange.
[11] Hudson, R., & Urquhart, A. (2015). War and stock markets: The effect of World War Two on the British stock market. International Review of Financial Analysis, 40, 166-177. doi:https://doi.org/10.1016/j.irfa.2015.05.015
[12] Jayakody, S. G. (2017). The impact of the Sri Lankan civil war on the stock market performances. International Journal of Economics and Financial Issues, 7(1), 394-402.
[13] Kollias, C., Kyrtsou, C., & Papadamou, S. (2013). The effects of terrorism and war on the oil price–stock index relationship. Energy Economics, 40, 743-752. doi:https://doi.org/10.1016/j.eneco.2013.09.006
[14] Le Bris, D. (2012). Wars, inflation and stock market returns in France, 1870–1945. Financial History Review, 19(3), 337-361. doi:10.1017/S0968565012000170
[15] MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35(1), 13-39. Retrieved from http://www.jstor.org/stable/2729691
[16] Octavianus, H. (2021). Telaah Literatur Efficient Market Hypothesis. Econ - Science topic(November). doi:10.13140/RG.2.2.17253.93925
[17] Peiris, T. (2012). An Empirical Investigation of News Impact on Stock Market Volatility during War and Post-war Periods in Sri Lanka. Paper presented at the International Conference on Business & Information.
[18] Schneider, G., & Troeger, V. E. (2006). War and the world economy: Stock market reactions to international conflicts. Journal of conflict resolution, 50(5), 623-645.
[19] Simeunovic, K. (2016). An analysis of the effect of war on the United States Stock Market. Lake Forest College,
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