Russia-Ukraine conflict: The effect on European banks’ stock market returns

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2023-03-01 DOI:10.1016/j.mulfin.2023.100786

António Miguel Martins , Pedro Correia , Ricardo Gouveia

引用次数: 13

Abstract

We examine the short-term market impact of the beginning of the military conflict between Russia and Ukraine (February 24, 2022) on the largest European listed banks. Using an event study, for the 100 largest European listed banks, we observe a negative and statistically significant stock price reaction at and around the beginning of the military conflict. These results are consistent with investor sentiment, investment portfolio rebalancing and the asset pricing perspective. Furthermore, we use a cross-sectional analysis against a set of country- and bank-specific variables. The results show a higher negative stock market reaction for Russian listed banks and for foreign banks with a high exposure to Russia. The magnitude of the stock market reaction to the military conflict is reinforced or mitigated by bank-specific determinants such as size, profitability, risk aversion, operational efficiency level, institutional ownership and exposure to Russia.

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俄乌冲突:对欧洲银行股票市场收益的影响

我们研究了俄罗斯和乌克兰之间的军事冲突(2022年2月24日)开始对欧洲最大的上市银行的短期市场影响。通过对100家最大的欧洲上市银行的事件研究，我们观察到，在军事冲突开始时及其前后，股价出现了负面的、统计上显著的反应。这些结果与投资者情绪、投资组合再平衡和资产定价观点一致。此外，我们对一组国家和银行特定变量进行了横断面分析。结果显示，对俄罗斯上市银行和对俄罗斯有高敞口的外国银行而言，股市的负面反应更高。股票市场对军事冲突的反应程度会因银行的特定决定因素而增强或减弱，如规模、盈利能力、风险规避、运营效率水平、机构所有权和对俄罗斯的敞口。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.

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