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The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia

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  • Kamal, Md Rajib
  • Ahmed, Shaker
  • Hasan, Mostafa Monzur

Abstract

This paper investigates the effect of the Russia–Ukraine crisis on the Australian stock market. Using the event study methodology, we find significantly negative abnormal returns on the event date (i.e., the first trading day after Russia recognized the two Ukrainian states as autonomous regions) in the Australian stock market. However, this negative stock market reaction mostly disappeared in the post-event period. We also find that small and medium-sized firms were adversely affected during the pre-event and event periods. Interestingly, the magnitude and the direction of the abnormal returns vary across industries. We also find that high-growth, illiquid and export-oriented firms are more exposed to the Russia–Ukraine crisis.

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  • Kamal, Md Rajib & Ahmed, Shaker & Hasan, Mostafa Monzur, 2023. "The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  • Handle: RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23001026
    DOI: 10.1016/j.pacfin.2023.102036
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    Cited by:

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    3. Klose, Jens, 2024. "Empirical effects of sanctions and support measures on stock prices and exchange rates in the Russia–Ukraine war," Global Finance Journal, Elsevier, vol. 59(C).
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    5. Ohikhuare, Obaika M., 2023. "How geopolitical risk drives spillover interconnectedness between crude oil and exchange rate markets: Evidence from the Russia-Ukraine war," Resources Policy, Elsevier, vol. 86(PB).
    6. Kamal, Md Rajib & Wahlstrøm, Ranik Raaen, 2023. "Cryptocurrencies and the threat versus the act event of geopolitical risk," Finance Research Letters, Elsevier, vol. 57(C).

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    More about this item

    Keywords

    Russia–Ukraine crisis; Political uncertainty; Financial contagion; Stock returns; Event study; Australia;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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