IDEAS home Printed from https://ideas.repec.org/a/bkr/journl/v79y2020i1p74-92.html

Announcements of Sanctions and the Russian Equity Market: An Event Study Approach

Author

Listed:
  • Pavel Dovbnya

    (New Economic School)

Abstract

The research question raised in this paper is an investigation of the effect of the announcement of US and EU sanctions on the stock returns of the targeted companies listed on the Moscow Exchange. The strategy for identification is based on firm-specific and multivariate short-term event studies. Firm-specific event study of eight sanctions that targeted 14 entities at different times results in a statistically significant 5.4% estimate of the expected cumulative abnormal return within a window of seven trading days.

Suggested Citation

  • Pavel Dovbnya, 2020. "Announcements of Sanctions and the Russian Equity Market: An Event Study Approach," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 74-92, March.
    • Handle: RePEc:bkr:journl:v:79:y:2020:i:1:p:74-92
    DOI: 10.31477/rjmf.202001.74
    as

    Download full text from publisher

    File URL: https://rjmf.econs.online/upload/iblock/eaa/Announcements-Sanctions-Russian-Market.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.31477/rjmf.202001.74?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Nivorozhkin, Eugene & Castagneto-Gissey, Giorgio, 2016. "Russian stock market in the aftermath of the Ukrainian crisis," Russian Journal of Economics, Elsevier, vol. 2(1), pages 23-40.
    2. Scott E. Hein, 2004. "Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters," Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 451-471.
    3. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Sanctions and the Russian stock market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 150-162.
    4. Dreger, Christian & Kholodilin, Konstantin A. & Ulbricht, Dirk & Fidrmuc, Jarko, 2016. "Between the Hammer and the Anvil: The Impact of Economic Sanctions and Oil Prices on Russia’s Ruble," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 44(2), pages 295-308.
    5. E. Gurvich & I. Prilepskiy., 2016. "The impact of financial sanctions on the Russian economy," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 1.
    6. Pin-Huang Chou, 2004. "Bootstrap Tests for Multivariate Event Studies," Review of Quantitative Finance and Accounting, Springer, vol. 23(3), pages 275-290, November.
    7. Binder, Jj, 1985. "On The Use Of The Multivariate Regression-Model In Event Studies," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 23(1), pages 370-383.
    8. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    9. Stanislav Anatolyev, 2007. "The basics of bootstrapping (in Russian)," Quantile, Quantile, issue 3, pages 1-12, September.
    10. Konstantin A. Kholodilin & Aleksei Netsunajev, 2019. "Crimea and punishment: the impact of sanctions on Russian economy and economies of the euro area," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 19(1), pages 39-51.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dominika Langenmayr & Mikayel Tovmasyan & Sebastian Vosseler, 2025. "Bypassing Sanctions: Hide 'N Seek in Tax Havens?," Working Papers 202536, Center for Global Policy Analysis, LeBow College of Business, Drexel University.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jakub Horak, 2021. "Sanctions as a Catalyst for Russia’s and China’s Balance of Trade: Business Opportunity," JRFM, MDPI, vol. 14(1), pages 1-26, January.
    2. Prilepskiy, I., 2019. "Financial Sanctions: Impact on Capital flows and GDP Growth in Russia," Journal of the New Economic Association, New Economic Association, vol. 43(3), pages 163-172.
    3. Michael Cichello & Douglas Lamdin, 2006. "Event Studies and the Analysis of Antitrust," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(2), pages 229-245.
    4. Barseghyan, Gayane, 2019. "Sanctions and counter-sanctions : What did they do?," BOFIT Discussion Papers 24/2019, Bank of Finland, Institute for Economies in Transition.
    5. Rommel, J. & Neuenfeldt, S. & Odening, M., . "Markteffekte medienwirksamer Lebensmittelskandale – eine Ergebnisstudie," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 45.
    6. Bijoy Chandra Das & Fakhrul Hasan & Soma Rani Sutradhar & Sujana Shafique, 2023. "Ukraine–Russia Conflict and Stock Markets Reactions in Europe," Global Journal of Flexible Systems Management, Springer;Global Institute of Flexible Systems Management, vol. 24(3), pages 395-407, September.
    7. Mikhail Mamonov & Anna Pestova, 2023. "The Price of War: Macroeconomic and Cross-Sectional Effects of Sanctions on Russia," CERGE-EI Working Papers wp756, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Sanctions and the Russian stock market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 150-162.
    9. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "Trade matters except to war neighbors: The international stock market reaction to 2022 Russia’s invasion of Ukraine," Research in International Business and Finance, Elsevier, vol. 65(C).
    10. Zhang, Jing Hua & Tam, Kwo Ping & Zhou, Nan, 2016. "Do smoking bans always hurt the gaming industry? Differentiated impacts on the market value of casino firms in Macao (China)," Economics Discussion Papers 2016-21, Kiel Institute for the World Economy.
    11. Huang, Roger D. & Li, Hang, 2009. "Does the market dole out collective punishment? An empirical analysis of industry, geography, and Arthur Andersen's reputation," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1255-1265, July.
    12. Carow, Kenneth A. & Heron, Randall A., 1998. "The interstate banking and branching efficiency act of 1994: A wealth event for acquisition targets," Journal of Banking & Finance, Elsevier, vol. 22(2), pages 175-196, February.
    13. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
    14. Doan, Minh Phuong & Sercu, Piet, 2021. "Modelling multiperiod patterns in stock-market reactions to events, with an application to serial acquisitions," International Review of Financial Analysis, Elsevier, vol. 77(C).
    15. Daouda Lawa Tan Toe & Mamadou Toe & Tibi Didier Zoungrana, 2023. "Investigating the weak and semi-strong forms of Informational Efficiency on the West African Economic and Monetary Union’s Stock Exchange (BRVM) through returns predictability tests," SN Business & Economics, Springer, vol. 3(9), pages 1-27, September.
    16. Anna Miromanova, 2023. "The effectiveness of embargoes: Evidence from Russia," The World Economy, Wiley Blackwell, vol. 46(4), pages 906-940, April.
    17. Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
    18. Morad Bali, 2020. "Methodological Limitations of the Literature in the Study of Economic Sanctions, the Ukrainian Crisis Case," Post-Print hal-02472943, HAL.
    19. Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).
    20. Cañón-de-Francia, Joaquín & Garcés-Ayerbe, Concepción & Ramírez-Alesón, Marisa, 2008. "Analysis of the effectiveness of the first European Pollutant Emission Register (EPER)," Ecological Economics, Elsevier, vol. 67(1), pages 83-92, August.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bkr:journl:v:79:y:2020:i:1:p:74-92. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Olga Kuvshinova (email available below). General contact details of provider: https://edirc.repec.org/data/cbrgvru.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.