The impact of the Russia–Ukraine crisis on the stock market: Evidence from Australia

Md Rajib  Kamal; Shaker  Ahmed; Mostafa Monzur Hasan

doi:10.1016/j.pacfin.2023.102036

The impact of the Russia–Ukraine crisis on the stock market: Evidence from Australia

Md Rajib Kamal, Shaker Ahmed, Mostafa Monzur Hasan^*

^*Corresponding author for this work

Department of Accounting and Corporate Governance

Research output: Contribution to journal › Article › peer-review

44 Citations (Scopus)

178 Downloads (Pure)

Abstract

This paper investigates the effect of the Russia–Ukraine crisis on the Australian stock market. Using the event study methodology, we find significantly negative abnormal returns on the event date (i.e., the first trading day after Russia recognized the two Ukrainian states as autonomous regions) in the Australian stock market. However, this negative stock market reaction mostly disappeared in the post-event period. We also find that small and medium-sized firms were adversely affected during the pre-event and event periods. Interestingly, the magnitude and the direction of the abnormal returns vary across industries. We also find that high-growth, illiquid and export-oriented firms are more exposed to the Russia–Ukraine crisis.

Original language	English
Article number	102036
Pages (from-to)	1-27
Number of pages	27
Journal	Pacific-Basin Finance Journal
Volume	79
DOIs	https://doi.org/10.1016/j.pacfin.2023.102036
Publication status	Published - Jun 2023

Bibliographical note

© 2023 The Authors. Published by Elsevier B.V. Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

Keywords

Russia–Ukraine crisis
Political uncertainty
Financial contagion
Stock returns
Event study
Australia

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Cite this

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abstract = "This paper investigates the effect of the Russia–Ukraine crisis on the Australian stock market. Using the event study methodology, we find significantly negative abnormal returns on the event date (i.e., the first trading day after Russia recognized the two Ukrainian states as autonomous regions) in the Australian stock market. However, this negative stock market reaction mostly disappeared in the post-event period. We also find that small and medium-sized firms were adversely affected during the pre-event and event periods. Interestingly, the magnitude and the direction of the abnormal returns vary across industries. We also find that high-growth, illiquid and export-oriented firms are more exposed to the Russia–Ukraine crisis.",

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The impact of the Russia–Ukraine crisis on the stock market: Evidence from Australia

Abstract

Bibliographical note

Keywords

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