AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
|
|||||||
The STUDIA UNIVERSITATIS BABEŞ-BOLYAI issue article summary The summary of the selected article appears at the bottom of the page. In order to get back to the contents of the issue this article belongs to you have to access the link from the title. In order to see all the articles of the archive which have as author/co-author one of the authors mentioned below, you have to access the link from the author's name. |
|||||||
STUDIA OECONOMICA - Issue no. 1 / 2023 | |||||||
Article: |
THE EUROPEAN BANKS UNDER THE SHOCK OF THE RUSSIAN INVASION OF 2022: AN EVENT STUDY APPROACH. Authors: CĂLIN FURDUI, DORINA TEODORA ȘFABU. |
||||||
Abstract: DOI: 10.2478/subboec-2023-0004 Published Online: 2023-04-25 Published Print: 2023-04-25 pp. 62-77 VIEW PDF FULL PDF 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. JEL Classification: G12, G14, G15, H56. Keywords: Event study, G-SIB’s, war, Russia, Fama-French models. |
|||||||