Impact of Geopolitical Turmoil in the Developing European Stock Markets vs. the Global Benchmark Indices: An Event Study Analysis of the Russo-Ukrainian War
Impact of Geopolitical Turmoil in the Developing European Stock Markets vs. the Global Benchmark Indices: An Event Study Analysis of the Russo-Ukrainian War

Summary/Abstract: The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions tospecific geopolitical events in order to identify general patterns and effective risk management strategies. Thisstudy follows the event study approach to assess the reactions of different stock markets to the Russo-Ukrai-nian war in 2022. The 12 stock markets are represented by the relevant indices and benchmarked against theMSCI World Index. The markets considered include developed, emerging, and frontier ones. The results sug-gest the presence of the proximity penalty. Especially, Poland showed the highest correction during the eventday. The markets outside Europe (the US, Canada, and Australia) did not show significant cumulative abnormalreturns for the whole event window, yet such corrections were noted for certain sub-periods within the win-dow. These results can be used for designing risk management strategies in the Central and Eastern Europe.

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