市场对俄乌战争的反应:银行业的全球分析

IF 3.6 Q1 BUSINESS, FINANCE Review of Accounting and Finance Pub Date : 2023-01-19 DOI:10.1108/raf-10-2022-0294
Sabri Boubaker, N. Nguyen, Vu Quang Trinh, Thanh Vu
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引用次数: 13

摘要

目的本文旨在研究银行业对俄乌战争的市场反应。设计/方法论/方法本文采用事件研究方法、回归分析和交互效应来研究战争对银行股价的影响,并分析解释累积异常收益的因素。发现首先,这项研究发现,在战争日期,回报率显著下降了近1.5%。所有大陆都观察到了类似的模式,但欧洲的降幅最为严重,约为4%。其次,在使用市场模型排除整个市场的同期影响后,全球银行股回报率在战争日下降了约1%,表明银行股受到战争的影响比平均股市更严重。市场净回报法进一步显示,与战前市场平均水平相比,活动当天银行股价下跌了1.4%。第三,战争和制裁的影响在战争持续期间持续存在。银行股在欧洲、亚洲和北美受到的打击最大。原创/价值本文率先研究了俄乌战争对银行业的影响。本文还分析了战前、战时和战后银行股的反应模式,以解释投资者对战争的行为和期望。
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Market reaction to the Russian Ukrainian war: a global analysis of the banking industry
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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来源期刊
CiteScore
4.30
自引率
0.00%
发文量
18
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