The Shock of War : do Trade Relations Weigh on the Reaction of Stock Markets to the Russian Invasion of Ukraine?

• Autorzy: Katarzyna Czech , Michał Wielechowski , Richard Barichello

Warianty tytułu

Reakcja rynków giełdowych na inwazję Rosji na Ukrainę a powiązania handlowe ze stronami konfliktu

• Języki publikacji: EN

Abstrakty

EN

This paper assesses whether the strength of trade ties with russia and Ukraine differentiates the reaction of stock markets to the outbreak of the russian invasion of Ukraine on 24 February 2022. Both the G20 and the eU are studied. The focus is on the stock market index change on the first day of the invasion, and the stock market index change between 23 February and 7 March 2022, where 7 March refers to the highest level of stock market uncertainty following the outbreak of the conflict. We distinguish clusters representing countries with a similar share of trade with Russia and Ukraine and then based on cluster data and the kruskal-Wallis and Wilcoxon rank-sum pairwise comparison tests, assess whether there are significant differences in stock market reactions between selected groups of countries. We reveal that the level of a country's trade links with the belligerents of the conflict significantly impacts changes in its stock market indices. Indices from those countries whose ties to russia and Ukraine are strongest have decreased the most. this study therefore implies that the scale of economic relations between countries might play an important role in the magnitude of the stock market reaction to the outbreak of an international military conflict, particularly these days when financial markets are globally integrated. (original abstract)

Celem artykułu jest sprawdzenie, czy siła powiązań handlowych z Rosją i Ukrainą istotnie różnicuje reakcję giełd papierów wartościowych na militarną agresję Rosji na Ukrainę 24 lutego 2022 r. Zakres podmiotowy badania stanowią wszystkie kraje G20 oraz Unii Europejskiej. W badaniu skoncentrowano się na jednodniowej zmianie indeksu giełdowego w pierwszym dniu inwazji oraz zmianie indeksu giełdowego w okresie od 23 lutego do 7 marca 2022 r. data 7 marca 2022 r. odnosi się do najwyższego poziomu niepewności giełdowej w następstwie wybuchu analizowanego konfliktu zbrojnego. Na podstawie analizy skupień metodą k-średnich wyodrębniono trzy klastry reprezentujące kraje o podobnym udziale w handlu z Rosją i Ukrainą. Następnie, wykorzystując test kruskala-Wallisa oraz test rang Wilcoxona, zweryfikowano, czy istnieją istotne różnice w reakcjach giełd między wyodrębnionymi grupami krajów. Zaobserwowano, że poziom powiązań handlowych kraju ze stronami konfliktu istotnie różnicuje reakcje indeksów giełdowych. Największe spadki wartości notują wiodące indeksy giełdowe z krajów najbardziej powiązanych gospodarczo z Rosją i Ukrainą. Wyniki badań wskazują na to, że poziom relacji gospodarczych między krajami może mieć istotny wpływ na reakcję indeksów giełdowych na wybuch międzynarodowych konfliktów zbrojnych, w szczególności w okresie globalizacji rynków finansowych. (abstrakt oryginalny)

Słowa kluczowe

EN

Stock markets; Stock market indexes; Trade; Armed conflicts

PL

Rynki giełdowe; Indeks giełdowy; Handel; Konflikty zbrojne

• Czasopismo: Ekonomista
• Rocznik: 2023
• Numer: nr 1
• Strony: 14--27

Twórcy

autor

Katarzyna Czech

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Michał Wielechowski

• dr, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Richard Barichello

• The University of British Columbia

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Identyfikatory

DOI

10.52335/ekon/161832