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Impacto do início do conflito Israel-Gaza nos retornos acionistas dos mercados do G7 e dos BRICS+
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Abstract(s)
A 7 de outubro de 2023 teve início um novo ciclo de conflito entre Israel e o Hamas, na sequência de um ataque de grande escala levado a cabo por este grupo extremista. O acontecimento gerou fortes repercussões a nível internacional, levantando preocupações quanto à estabilidade regional no Médio Oriente e ao possível impacto nos mercados financeiros globais. Este fenómeno motivou a escolha do tema da presente dissertação.
O trabalho empírico analisa os impactos do início do conflito Israel-Gaza nos retornos acionistas dos principais índices dos países mais desenvolvidos (G7) e de um conjunto de países emergentes (BRICS+). Mais especificamente, investiga-se a formação de retornos anormais nos mercados acionistas representativos daqueles grupos de países, bem como diferenças na intensidade, na direção e no tempo de desconto da informação nova. A abordagem empírica baseia-se na metodologia do estudo de eventos de Fama et al. (1969), seguindo os procedimentos estatísticos de MacKinlay (1997) e de Pereira et al. (2024). Complementarmente, aplica-se a metodologia de Beaver (1968) para analisar a reação dos preços à informação nova em torno do evento.
Os resultados empíricos sugerem a ocorrência de retornos anormais significativos em ambos os grupos de países, ainda que com direção e intensidade distintos. Os mercados do G7 reagiram de forma mais imediata e circunscrita, enquanto os mercados dos BRICS+ apresentaram perdas mais acentuadas e mais duradouras. Além disso, verifica-se uma incorporação mais lenta da informação nos mercados emergentes, contrariando a forma semiforte de eficiência financeira. Entre os acontecimentos mais relevantes durante a janela do evento destacam-se o ataque ao Hospital Al-Ahli Arab, a interrupção do fornecimentos de bens essenciais e a intensificação dos bombardeamentos por parte de Israel.
O trabalho destaca que os choques geopolíticos influenciam significativamente os mercados acionistas e que os efeitos não são idênticos entre economias desenvolvidas e emergentes.
On October 7, 2023, a new cycle of conflict between Israel and Hamas began, following a large-scale attack carried out by the extremist group. This event triggered strong international repercussions, raising concerns about regional stability in the Middle East and the potential impact on global financial markets. This phenomenon served as the motivation for the present dissertation. The empirical work analyzes the effects of the outbreak of the Israel-Gaza conflict on the stock returns of major indices from the most developed countries (G7) and a group of emerging economies (BRICS+). More specifically, it investigates the occurrence of abnormal returns in stock markets representing those country groups, as well as differences in the intensity, direction, and timing of information assimilation. The empirical approach is based on the event study methodology of Fama et al. (1969), following the statistical procedures outlined by MacKinlay (1997) and Pereira et al. (2024). Additionally, the methodology of Beaver (1968) is applied to examine the price reaction to new information around the event. The empirical results suggest the presence of significant abnormal returns in both groups of countries, albeit with distinct directions and magnitudes. The G7 markets reacted more immediately and within a limited scope, whereas the BRICS+ markets experienced sharper and more prolonged losses. Furthermore, a slower incorporation of information was observed in emerging markets, contradicting the semi-strong form of market efficiency. Among the most notable events during the event window were the attack on the Al-Ahli Arab Hospital, the disruption of essential goods supplies, and the intensification of Israeli airstrikes. This study highlights that geopolitical shocks significantly influence stock markets, with effects that differ between developed and emerging economies.
On October 7, 2023, a new cycle of conflict between Israel and Hamas began, following a large-scale attack carried out by the extremist group. This event triggered strong international repercussions, raising concerns about regional stability in the Middle East and the potential impact on global financial markets. This phenomenon served as the motivation for the present dissertation. The empirical work analyzes the effects of the outbreak of the Israel-Gaza conflict on the stock returns of major indices from the most developed countries (G7) and a group of emerging economies (BRICS+). More specifically, it investigates the occurrence of abnormal returns in stock markets representing those country groups, as well as differences in the intensity, direction, and timing of information assimilation. The empirical approach is based on the event study methodology of Fama et al. (1969), following the statistical procedures outlined by MacKinlay (1997) and Pereira et al. (2024). Additionally, the methodology of Beaver (1968) is applied to examine the price reaction to new information around the event. The empirical results suggest the presence of significant abnormal returns in both groups of countries, albeit with distinct directions and magnitudes. The G7 markets reacted more immediately and within a limited scope, whereas the BRICS+ markets experienced sharper and more prolonged losses. Furthermore, a slower incorporation of information was observed in emerging markets, contradicting the semi-strong form of market efficiency. Among the most notable events during the event window were the attack on the Al-Ahli Arab Hospital, the disruption of essential goods supplies, and the intensification of Israeli airstrikes. This study highlights that geopolitical shocks significantly influence stock markets, with effects that differ between developed and emerging economies.
Description
Keywords
Conflito Israel-Gaza Hipótese de mercado eficiente Retornos anormais Reação de preços Israel-Gaza conflict Efficient market hypothesis Abnormal returns Price reaction