2022年俄罗斯入侵冲击下的欧洲银行:一个事件研究方法

Călin Furdui, Dorina Teodora Șfabu
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引用次数: 0

摘要

摘要本文评估了欧洲具有系统重要性的银行对2022年俄罗斯入侵乌克兰的冲击的反应。使用事件研究方法和三种最常用的估计理论回报的模型(CAPM, Fama-French 3因素模型,Fama-French 5因素模型),我们表明银行对事件日期(2022年2月24日)的反应因国家而异。总体而言,具有系统重要性的银行在事件窗口记录了巨额累积异常回报。结果在国家层面上有所不同,这取决于各自银行对俄罗斯的敞口,各国对俄罗斯天然气和石油的依赖程度,以及它们交易的市场的信息效率水平。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach
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.
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