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The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine

Author

Listed:
  • Manuel Hoffmann

    (University of Trier)

  • Matthias Neuenkirch

    () (University of Trier)

Abstract

Abstract We analyze the impact of the pro-Russian conflict on stock returns in Russia and the Ukraine during the period November 21, 2013 to September 29, 2014. We utilize four newly created indicators for the degree of (de-)escalation based on an Internet search for conflict-related news. We find that escalation of the conflict is bad news for investors in both stock markets. Russian returns decrease by as much as 21 basis points (bps) after a 1 percentage point (pp) increase in escalation and Ukrainian returns drop by even more (up to 30 bps). In total, (de-)escalation of the pro-Russian conflict in the Ukraine accounts for a variation of up to 14.6 (33.4) pp in the Russian (Ukrainian) stock market. We also find that news from international sources is more relevant for investors in the Russian stock market than is news from Russian sources.

Suggested Citation

  • Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
  • Handle: RePEc:kap:iecepo:v:14:y:2017:i:1:d:10.1007_s10368-015-0321-3
    DOI: 10.1007/s10368-015-0321-3
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. repec:kap:iecepo:v:14:y:2017:i:4:d:10.1007_s10368-017-0376-4 is not listed on IDEAS
    3. 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," Journal of Comparative Economics, Elsevier, vol. 44(2), pages 295-308.
    4. Zornitsa Kutlina-Dimitrova, 2017. "The economic impact of the Russian import ban: a CGE analysis," International Economics and Economic Policy, Springer, vol. 14(4), pages 537-552, October.

    More about this item

    Keywords

    Conflict-related news; Pro-Russian conflict; Russia; Sanctions; Stock returns; Ukraine;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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