Did the Indian stock market sail the Russia-Ukraine storm safely?

Abstract

With a sample of 1422 NSE-listed stocks, this study employs the event study method to find the impact of the Russian invasion of Ukraine 2022 on the Indian stock market. Further, cross-sectional regression captures the firm characteristics capable of driving abnormal returns. While the abnormal returns of the Indian stock markets are significant and negative during the pre-invasion period and on the date of military initiation, they are significantly positive during the post-invasion period except on t + 6. The cross-sectional examination of the cumulative abnormal returns with the firm-specific variables indicates that while size, leverage, and BTM negatively impact the pre-invasion abnormal returns, firm liquidity is insignificant; during the post-event period, the past returns and stock volatility positively impact and can predict the abnormal returns. The study provides important implications for policymakers, firms, banks, and investors in managing their financial structure and making informed investment decisions. The findings can also be applied to other emerging markets, serving as a reference for policymakers and contributing to the broader understanding of firms' behavior during crises.