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Event study on the reaction of the Balkan stock markets to the conflict between Russia and Ukraine / Goran Mojanoski, Vesna Bucevska

Croatian review of economic, business and social statistics : CREBSS . - Warsaw : De Gruyter Open ; Zagreb : Hrvatsko statističko društvo, 01 Dec 2015-. - Bd. 8 (2022), 2, S. 18-27

Englisch

Elektronische Ressource: Zugang beim Produzenten (Lizenzangabe: Kostenfrei zugänglich ohne Registrierung)

Elektronische Ressource: Zugang über Resolving-System (Lizenzangabe: Kostenfrei zugänglich ohne Registrierung)

Digital Object Identifier (DOI): 10.2478/crebss-2022-0007

Rechteinformation und Access Status: CC BY-NC-ND 3.0 | Open Access

JEL: C10

emerging markets ; event study methodology ; stock indices ; war intervention

The aim of this paper is to examine the reaction of South Eastern European stock markets to the armed conflict between Russia and Ukraine. With a sample of seven stock market indices, the event study methodology is applied to examine the influence of the conflict between two countries on European ground over stock indices of emerging markets in South Eastern Europe. Results indicate that beginning of the conflict in late February brought a very strong significant price correction and stock markets in the examined countries became maximum oscillatory and subjected to light and rapid changes on a daily level. The findings contribute to the research on economic impact of the armed conflict by providing empirical evidence that conflict between two European (Non-European Union members) countries has spill-over effects on stock markets on other European (European Union members and Non-European Union members) countries. The findings have important implications for portfolio diversification and thus can serve in the asset allocation decision of investment managers.