<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This paper evaluates the reaction of systemically important banks in Europe to the shock of the Russian invasion of Ukraine in 2022. Using the event study methodology and three of the most commonly used models for estimating theoretical returns (CAPM, Fama-French with 3 factors, Fama-French with 5 factors), we show that banks react differently relative to the event date (February 24, 2022) depending on the country. Overall, systemically important banks recorded massive cumulative abnormal returns in the event window. The results differ at the country level depending on the exposure of the respective banks to Russia, the dependence of countries on Russian gas and oil, and the level of informational efficiency of the markets on which they are traded.</p>
</abstract>

This paper evaluates the reaction of systemically important banks in Europe to the shock of the Russian invasion of Ukraine in 2022. Using the event study methodology and three of the most commonly used models for estimating theoretical returns (CAPM, Fama-French with 3 factors, Fama-French with 5 factors), we show that banks react differently relative to the event date (February 24, 2022) depending on the country. Overall, systemically important banks recorded massive cumulative abnormal returns in the event window. The results differ at the country level depending on the exposure of the respective banks to Russia, the dependence of countries on Russian gas and oil, and the level of informational efficiency of the markets on which they are traded.

The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach

Studia Universitatis Babes-Bolyai Oeconomica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

This paper evaluates the reaction of systemically important banks in Europe to the shock of the Russian invasion of Ukraine in 2022. Using the event study...

The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach

Pubblicato online: 08 mag 2023

Pagine: 62 - 77

DOI: https://doi.org/10.2478/subboec-2023-0004

Parole chiave
Event study, G-SIB’s, war, Russia, Fama-French models

© 2023 Călin Furdui et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach

Pubblicato online: 08 mag 2023

Pagine: 62 - 77

DOI: https://doi.org/10.2478/subboec-2023-0004

Parole chiaveEvent study, G-SIB’s, war, Russia, Fama-French models

© 2023 Călin Furdui et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Parole chiave
Event study, G-SIB’s, war, Russia, Fama-French models