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Erscheinungsjahr: 
2025
Quellenangabe: 
[Journal:] Contemporary Economics [ISSN:] 2300-8814 [Volume:] 19 [Issue:] 1 [Year:] 2025 [Pages:] 121-131
Verlag: 
University of Finance and Management in Warsaw, Faculty of Management and Finance, Warsaw
Zusammenfassung: 
The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of different stock markets to the Russo-Ukrainian war in 2022. The 12 stock markets are represented by the relevant indices and benchmarked against the MSCI World Index. The markets considered include developed, emerging, and frontier ones. The results suggest the presence of the proximity penalty. Especially, Poland showed the highest correction during the event day. The markets outside Europe (the US, Canada, and Australia) did not show significant cumulative abnormal returns for the whole event window, yet such corrections were noted for certain sub-periods within the window. These results can be used for designing risk management strategies in the Central and Eastern Europe.
Schlagwörter: 
market efficiency
stock index
event study
abnormal return
Baltic States
Central and Eastern Europe
geopolitical event
JEL: 
G14
C12
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