Abstract
Using an event study analysis on daily closing prices of 83 stock market indices from February 10, 2021 to March 14, 2022, we find that the Russia-Ukraine war negatively impacts stock returns, affecting the high-income nations the most. However, the impact varies from country to country, with some experiencing significant positive or negative abnormal returns during different event windows. Cross-sectional results indicate that the income group of nations, innovation index, net-oil exports, trade-to-GDP ratio, military expenditure, inflation, past returns, and volatility significantly impact the cumulative abnormal returns during different event windows. While countries with a higher innovation index, higher net oil exports, higher military expenditure and lower trade-to-GDP ratios experience positive returns, high-income countries experience significant negative returns. Concomitantly, higher past returns and volatility predict abnormal returns during the war.
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