What drives abnormal returns of stock markets in wartime? Evidence from 17 invasions

IF 2.4 3区 经济学 Q2 ECONOMICS
Vincent Hoffmann , Luu Duc Toan Huynh , Mei Wang
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引用次数: 0

Abstract

This study examines the impact of contemporary invasions on stock markets within advanced and emerging economies. By studying various conflicts and their progression into wars, we aim to expose underlying patterns in stock market reactions. First, we conduct an event study to assess the stock market reactions to seventeen modern invasions from 2001 to 2022. We calculate cumulative abnormal returns for the respective stock market and each invasion. Furthermore, we introduce a regression model highlighting differences in stock market reactions between advanced and emerging countries. The regression model contributes to understanding the relationship between cumulative abnormal returns and each country’s geographic and economic characteristics. Invasions generally have a negative impact on stock markets, with emerging markets showing greater sensitivity and more negative reactions to invasions than advanced stock markets. Furthermore, the findings suggest that underlying drivers play a role in explaining abnormal returns during invasions.
是什么驱动了战时股市的异常回报?来自17次入侵的证据
本研究考察了当代入侵对发达经济体和新兴经济体股票市场的影响。通过研究各种冲突及其演变为战争,我们旨在揭示股市反应的潜在模式。首先,我们进行了一项事件研究,以评估股票市场对2001年至2022年17次现代入侵的反应。我们计算了各自股票市场和每次入侵的累积异常收益。此外,我们引入了一个回归模型,突出了发达国家和新兴国家之间股市反应的差异。回归模型有助于理解累积异常收益与各国地理和经济特征之间的关系。入侵通常对股票市场产生负面影响,新兴市场对入侵的敏感性和负面反应高于发达股市。此外,研究结果表明,潜在的驱动因素在解释入侵期间的异常回报方面发挥了作用。
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来源期刊
CiteScore
3.40
自引率
10.00%
发文量
106
期刊介绍: The aim of the European Journal of Political Economy is to disseminate original theoretical and empirical research on economic phenomena within a scope that encompasses collective decision making, political behavior, and the role of institutions. Contributions are invited from the international community of researchers. Manuscripts must be published in English. Starting 2008, the European Journal of Political Economy is indexed in the Social Sciences Citation Index published by Thomson Scientific (formerly ISI).
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