THE EUROPEAN BANKS UNDER THE SHOCK OF THE RUSSIAN INVASION OF 2022: AN EVENT STUDY APPROACH

Călin  FURDUI; Dorina Teodora  ȘFABU

doi:10.2478/subboec-2023-0004

Authors

Călin FURDUI Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca, Romania. Email: calin.furdui.ro@gmail.com.
Dorina Teodora ȘFABU Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca, Romania. Corresponding author: calin.furdui.ro@gmail.com.

DOI:

https://doi.org/10.2478/subboec-2023-0004

Keywords:

Event study, G-SIB’s, war, Russia, Fama-French models.

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.

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