Capital Market Reaction in Asean Member Countries Against Market Shock: Russia and Ukraine War

Abstract

This study aims to find the reaction of capital markets in ASEAN member countries due to the emergence of war between Russia and Ukraine by comparing the values of abnormal returns, cumulative abnormal returns and trading volume activity before and after the Russian attack on Ukraine. This research is an event study research. Event study was developed to analyze market reaction to an event whose information is published. The event used in this study is the market shock condition from the war between Russia and Ukraine. The observation period uses the event window, which is 14 trading days before and after the Russian attack on Ukraine. The analytical tools used in this study were descriptive statistics, normality tests and different tests using the Paired Sample t-Test or the Wilcoxon Signed Rank Test. The results of the first stage of different tests show that overall there was no capital market reaction in ASEAN member countries as seen from the values of abnormal returns, cumulative abnormal returns and trading volume activity at the time of the war between Russia and Ukraine. The results of the second stage of the different test show that the reaction of the capital market seen from the abnormal return value can be seen that the capital market in Cambodia reacted at the time of the war between Russia and Ukraine, from the cumulative abnormal return value, the capital markets in all ASEAN member countries did not react to war incidents.