Geopolitical event and the stock market: An event study of Russia-Ukraine war

The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market.

This study aims to delve into the intricate impacts of the Russia-Ukraine conflict on the Saudi Arabian stock market. It specifically examines the extent to which this geopolitical event has influenced market performance and investor sentiment across different sectors. Utilizing an event study methodology, the research meticulously analyzes data over a period encompassing pre-event, event, and post-event phases. This comprehensive approach allows for a nuanced understanding of the market's temporal reactions and sectoral disparities in response to the conflict. The findings of the study are both significant and revealing. The Saudi Arabian stock market exhibited pronounced abnormal returns and cumulative abnormal returns, indicating a strong market reaction to the unfolding geopolitical situation. This response varied considerably across different sectors, highlighting the differentiated impact of the conflict based on sector-specific characteristics and vulnerabilities. Through rigorous hypothesis testing, the study confirms the Russia-Ukraine conflict's tangible impact on the overall market returns in Saudi Arabia. These sector-specific variations in market reactions are particularly enlightening, underscoring the critical need to consider industry dynamics when evaluating the effects of geopolitical risks. The practical implications of this research are far-reaching. It offers valuable insights for investors, policymakers, and financial analysts, particularly in the context of the Middle East. By providing a clearer understanding of how geopolitical events like the Russia-Ukraine conflict can reverberate through financial markets. It also contributes to the broader discourse on the interplay between international conflicts and financial market dynamics, offering a framework for future studies in this area.

This study examines the impact of geopolitical risks on the stock market, with a focus on the 2019 South Korea-Japan trade dispute. Using the event study methodology, we estimate the abnormal returns of manufacturing companies in South Korea directly related to Japan’s export restrictions. Our findings reveal that the exclusion of South Korea from a Japanese Whitelist had a negative effect on the stock prices of manufacturing companies in South Korea. The cumulative abnormal return (CAR) of Korean manufacturing companies was -6.26%, and 86.64% of 232 sample companies experienced a negative CAR. The study also confirms that small and medium-sized enterprises (SMEs) are more vulnerable to geopolitical risks than large companies. This study provides practical implications for firm managers and policymakers as the first study that provides empirical evidence of the stock market reaction to the South Korea-Japan trade dispute.

This paper presents an up-to-date account of market operations of the Ho Chi Minh Stock Exchange and examines its informational efficiency in recent years. The daily closing prices and rates of return of VN Index – the major market index of Ho Chi Minh Stock Exchange and 10 stocks chosen from different sectors are employed, from 2 January 2018 to 31 December 2019, to investigate the random walk hypothesis of market efficiency using the Lo-MacKinlay variance ratio test and Chow-Denning multiple variance ratio test. Our results show that the market index and individual sample stocks conform to the null hypothesis of a random walk type 3 model of a weak form market efficiency. The paper also presents the results of an Event Study to examine the semi-strong form market efficiency of the HOSE. The empirical results on this type indicate that there are significant abnormal returns and significant cumulative abnormal returns by trading the stocks around the events. These results are inconsistent with the requirements of a semi-strong form market efficiency, and it thus appears that further improvements in transmission of information and its speed within this market are needed to further improve the efficiency of this emerging market.

The Russia-Ukraine war has captured international attention and raised concerns about its potential implications on global financial markets. This study aimed to investigate the interplay between geopolitical events, market reactions within the Indonesia Stock Exchange (IDX), and the market efficiency of the IDX. The study employed event study methodology and analyzed changes in stock prices, abnormal returns, cumulative abnormal returns, and trading volume activity. The sample comprised 53 companies in the energy sector and 57 companies in the food and beverage sector listed on the IDX. The analysis focused on data from 10 days before and after three Russia-Ukraine conflict-related events, namely (1) the announcement of Russia’s invasion of Ukraine on the 24th of February 2022, (2) the announcement of an oil import embargo on Russia by the European Union on the 31st of May 2022, and (3) the announcement of the first wheat export ship’s departure from the port of Odesa on the 1st of August 2022. Both paired sample t-tests and paired sample Wilcoxon signed rank tests were conducted to assess the statistical significance of differences in the means of paired samples. The findings revealed significant differences in average stock prices before and after all three events in the energy sector. However, only events 2 and 3 displayed significant differences in average abnormal returns and cumulative abnormal returns. Moreover, events 1 and 3 exhibited significant differences in average trading volume activity. In the food and beverage sector, a significant difference in average stock prices was observed before and after event 2, while all three events presented significant differences in average abnormal returns and cumulative abnormal returns. Furthermore, event 3 showed a significant difference in average trading volume activity. These findings indicated that the IDX displayed varying reactions to different Russia-Ukraine conflict-related events. Notably, events involving multiple countries or entities exerted a greater impact on the energy and food and beverage sectors within the IDX, leading to more pronounced market reactions. Additionally, the findings suggested that the IDX exhibited a semi-strong form of market efficiency.

Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis

The study examined the whether finance performance and other ability fator affects the short-run’s initial public offerings return under Vietnam stock market. Using the data on 118 on the both Hochiminh and Hanoi Stock Exchange from 1 January 2006 to 30 June 2010. I found that the average initial excess return on the 30 day of trading are over1.92%. Using the OLS regression model to explain the affects on Vietnam stock return. As the result shows that: i) This research proposes Vietnam stock market consistent underpricing phenomanon. Underpricing of Ho Chi Minh stock exchange center is higher than Hanoi stock exchange’s. ii) From initial exess abnormal return analysis and mean of short-run cumulative excess abnormal return, it proposed Vietnam stock have possitive on short-run IPO return. iii) Finance performance, IPOs size, the firm of capital had strong signification effects Vietnam short-run IPO stock return. iv) The IPO cummulative abnormal return not affected by place of IPO, also affect by the year of IPO and industry of IPO.

This study is the first to investigate the asymmetric effects of oil price volatility on stock returns for the Ho Chi Minh Stock Exchange (HOSE). We utilized weekly series of VN30-Index, WTI crude oil prices, geopolitical risks (GPR) index, and gold prices spanning from 6 February 2012 to 31 December 2023 as data sources. Using a nonlinear autoregressive distributed lag (NARDL) bounds testing approach, we found that, in the shortterm, oil price volatility has negative asymmetric effects on market returns. Specifically, in the shortterm, a 1 percent increase in oil price volatility immediately leads to a 2.6868 percent decrease in the market returns, while a similar magnitude decrease in oil price volatility is associated with a 6.3180 percent increase in the market returns. In addition, the results obtained from the NARDL model indicated that, in the longterm, the negative and positive changes of oil price volatility have significantly negative effects on the market returns. Finally, the findings derived from the error correction model (ECM) show that a 98.21 percent deviation from the equilibrium level in the previous week is converged and corrected back to the long-term equilibrium in the current week.

This paper treats the outbreak of coronavirus disease 2019 (COVID‐19) as a natural experiment that can provide insights into the effects of investor sentiment on stock market reactions. Employing the event study methodology (ESM) and taking the date of the Wuhan lockdown as the event date, we find that average abnormal return (AAR) and cumulative abnormal return (CAR) are significantly negative, and average trading volume excesses far more than before within two days of the outbreak. Further, we establish a difference‐in‐differences (DID) model to investigate the differences between Hubei and non‐Hubei listed companies. The results show that for Hubei listed companies, the change of excessive trading volume (ETV) between pre‐event and post‐event period is significantly higher than that of non‐Hubei listed companies, while there exhibits no relationship between the change of AAR and registration place. Overall, our findings provide new evidence for the interaction of local bias and investor sentiment affecting stock market reactions.

This study attempts to investigate the stock price reaction to divi-dend announcements using data of Vietnamese listed firms on Hochiminh Stock Exchange (HOSE). Standard event study meth-odology has been employed on a sample of 198 cash dividend an-nouncements made in 2011. The results show that stock prices react significantly and positively to the announcements of cash dividends, including both dividend increasing and dividend decreasing events. It is also plausible that cumulative abnormal returns exhibit an in-creasing trend before announcement yet a decreasing trend after announcement dates. More specifically, we find positively signifi-cant cumulative abnormal returns of around 1.03% on announce-ment dates; other larger windows also demonstrate positive abnor-mal returns of around 1.3%. In addition, cash dividends have differ-ent effects on share prices of firms from different industries. These results support the signaling hypothesis and are also consistent with prior findings of empirical research done on more developed mar-kets, i.e. the US and the UK.

The escalation of the Israel-Palestine conflict has garnered global attention. Public condemnation through mass boycotts of pro-Israel products has significantly impacted capital markets, particularly the sharia stock market in countries with Muslim majority populations. The volatility of sharia stock returns becomes a crucial focal point in this context as it serves as a sensitive indicator of geopolitical events and changes in investor sentiment. This study investigates the connection between the volatility of sharia stock returns in Indonesia and investor sentiment as a result of the Israel-Palestine conflict. Researchers use the GARCH (1,1) model to look at how investor sentiment and the conflict between Israel and Palestine affect the volatility of Sharia stock returns indexed by the Jakarta Islamic Index (JII), using monthly data from January 2012 to February 2024. The researchers hypothesized that investor sentiment and the Israeli-Palestine conflict affect Islamic stock returns in Indonesia, but the results of this study show that the two factors have no effect on Islamic stock returns. The findings of this research provide valuable insights for financial market practitioners, investors, and regulators in understanding the impact of geopolitical conflicts on the capital market, particularly in the context of sharia stocks in Indonesia. By considering investor sentiment factors and market fluctuations triggered by such geopolitical events, this study provides a stronger foundation for wise investment decision-making and effective risk management, thereby enhancing the stability and performance of sharia capital markets in the future.

Focusing on Infosys and HDFC Bank, this study investigates the degree of event-driven quasi-arbitrage between American Depositary Receipts (ADRs) and their corresponding Indian equities between 2022 and 2025. Theoretically, after taking conversion ratios and exchange rates into consideration, the law of one price guarantees parity between ADRs and underlying domestic shares. However, in reality, market frictions like capital controls, time zone differences, and information asymmetry lead to transient mispricings. This study examines abnormal returns (ARs), cumulative abnormal returns (CARs), and arbitrage spreads in relation to firm-specific earnings announcements and significant U.S. macroeconomic releases using an event study methodology. Event dates were sourced from official economic calendars and company filings, and daily price data for ADRs, domestic stocks, and USD/INR exchange rates were gathered from investing.com. The analysis covered macroeconomic announcements over a [0, +1] window and earnings events over a [−3, +3] trading day window. The results show unique dynamics at the firm level: Infosys shows a sharp reversal with nearly zero CARs after displaying strong and statistically significant abnormal returns (+2.42% on event day). With a modest negative CAR and negligible abnormal returns, HDFC's earnings announcements appear to have weak or predictable earnings effects. Additionally, there are structural differences in arbitrage spreads: HDFC ADRs exhibit a persistent premium, reflecting segmentation and diverse investor demand, while Infosys ADRs trade nearly at parity with NSE shares. ADR–equity pairs are only slightly and unevenly impacted by macroeconomic events, such as CPI, non-farm payroll releases, and U.S. Federal Reserve announcements, with mean CARs near zero. These findings imply that, although transaction costs and regulatory restrictions limit their exploitability, quasi-arbitrage opportunities are most apparent during firm-level events. The study's overall findings demonstrate the changing effectiveness of Indian ADRs, which have limited long-term arbitrage potential but temporary mispricings around high-information events.

This paper explores how geopolitical risk impacts small and medium-sized enterprises (SMEs), focusing on the COVID-19 pandemic and the Russia–Ukraine war. Using daily return data from the ECPI Italy SME Equity and Shenzhen SME Composite indexes, as well as the Global Geopolitical Risk Index, this study employs a Dynamic Conditional Correlation GARCH model to analyze how correlations change over time. The results show that Asian SMEs, represented by China, exhibit higher short-term volatility but stronger long-term resilience than their European counterparts. Notably, Asian markets react consistently across crises, while European markets distinguish between different events. These findings provide important insights for policymakers, suggesting the need for standardized crisis response frameworks and emphasizing short-term mitigation efforts. This study adds to SME theory by highlighting the complex relationship between geopolitical shocks and SME performance, with important implications for risk management and regulatory strategies in emerging economies.

ABSTRACTThis study probes into relationship between investor sentiment and cumulative abnormal returns (CAR) of share repurchase announcements, and it treats market return as threshold variable. By threshold regression model, it tries to find the effect of market situations on relation between investor sentiment and CAR. According to empirical result, in share market of Taiwan, investor sentiment can explain CAR. When share market is extremely pessimistic (market return lower than −16.0053%), relation between investor sentiment and CAR will change to some degree. In addition, relation between price risk of announcement company and CAR will disappear with the extremely pessimistic situation of market.

This article examines how investor sentiment affects stock returns on Vietnam's stock market. Investor sentiment index is measured by a relative strength index (RSI) of 57 companies listed on the Ho Chi Minh Stock Exchange from January 1, 2015 to July 31, 2020. Control variables include investors' stock trading behavior, firm size, and cash flow per share. Using Fama-MacBeth regression estimation and general least square estimation (GSL) on a daily basis, both methods find the sentiment of high investors producing higher stock returns, on the contrary, the sentiment of low investors erodes stock returns. Different from the results of Brown and Cliff (2004) [Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27], the article found that the investor sentiment factor plays the most important role in explaining the return of the stock market compared to the rest of the factors.