The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach

In this paper we examine the impact of the breakout of the conflict between Russia and Ukraine on the G20 and other selected stock markets using the event study approach. The analysis of the abnormal returns (AR) before and after the launch of the ‘special military operation’ by Russian military forces on the 24th of February 2022 revealed a strong negative impact of this military action on a majority of the stock markets, especially on the Russian market. The aggregate stock market analysis indicates a significant and negative impact of the Russia–Ukraine conflict on the event day and post event days. The country-wise analysis demonstrated that the stock markets of Hungary, Russia, Poland, and Slovakia were first to react in anticipation of the military actions in Ukraine, showing negative returns in pre- event days already, whereas the stock markets of Australia, France, Germany, India, Italy, Japan, Romania, South Africa, Spain, and Turkey were adversely affected in the post-invasion days. Finally, the regional analysis indicates that the European and Asian regions are significantly and adversely affected by this event.