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Abstract(s)
A 24 de fevereiro de 2022 foi declarado o início da invasão russa da Ucrânia, acontecimento que desencadeou implicações macroeconómicas disruptivas, não só para os países diretamente envolvidos, mas também ao nível mundial.
A presente dissertação analisa os efeitos da Guerra Rússia-Ucrânia em mercados acionistas de 10 países limítrofes da região do conflito e/ou com histórico de integração na extinta URSS. Mais concretamente, pretende-se averiguar a potencial existência de retornos anormais nos índices acionistas dos países selecionados, bem como nas ações de empresas dos setores agrícola e alimentar, bancário, energético, militar e turístico.
O trabalho empírico enquadra-se na metodologia de estudo dos eventos proposta por Fama et. al (1969) e recorre aos procedimentos de Mackinlay (1997), permitindo eliminar as condições económicas gerais e as diferenças de risco e retorno dos ativos. Complementarmente, é aplicado o Modelo de Beaver (1968) de modo a analisar a reação do preço das ações ao evento extremo da invasão russa da Ucrânia.
Os resultados sugerem que o início do conflito impactou significativamente os preços das ações agrupadas por setor de atividade e dos índices de mercado, embora sob comportamentos distintos ao longo do período de análise. De um modo geral, os setores bancário e do turismo foram os que sofreram maiores perdas anormais, devido à vulnerabilidade das instituições financeiras perante tensões geopolíticas e à sensação de insegurança. Pelo contrário, os setores energético e militar registaram retornos líquidos anormais positivos, devido às sansões aplicadas às exportações russas e ao aumento da procura de produtos e serviços militares. Em relação aos índices acionistas, destacam-se as perdas anormais líquidas de riqueza acionista nos países analisados, com exceção dos mercados do Cazaquistão e da Polónia. Finalmente, os resultados evidenciam que, na maior parte dos casos, os retornos anormais identificados tendem a permanecer por mais de duas semanas após o início do evento.
On 24 February 2022, it was declared that the Russian invasion of Ukraine had begun, an event that had disruptive macroeconomic implications not only for the countries directly involved but also worldwide. This dissertation analyses the effects of the Russia-Ukraine War on the financial markets, more specifically on the stock market prices of companies and stock market indices of countries geographically close to the military conflict and/or with a history of integration into the defunct Union of Soviet Socialist Republics (USSR). It also aims to ascertain the existence of abnormal returns and the average length of stay. In addition, it aims to ascertain potential disparities in the results of companies from different sectors of activity, concluding on the possibility of both negative and positive abnormal returns. The empirical study is part of the event study methodology proposed by Fama et. al (1969) and Mackinlay (1997), which makes it possible to eliminate general economic conditions and differences in risk and return on assets. In addition, the Beaver Model (1968) is applied to analyse the reaction of share prices to the Russia-Ukraine War. The results suggest that Russia's invasion of Ukraine had a significant impact on share prices grouped by sector of activity and by market index, although there were different behaviours over the period of analysis. Overall, there was a net abnormal loss of shareholder wealth in the target countries, with the exception of the results obtained for the Kazakhstan and Poland market indices. The banking sector stands out as the sector most negatively affected by the military conflict due to the greater vulnerability of financial institutions to geopolitical tensions. In contrast, the energy and military sectors recorded positive net abnormal returns. The evidence indicates that the abnormal returns tend to remain for more than two weeks after the event.
On 24 February 2022, it was declared that the Russian invasion of Ukraine had begun, an event that had disruptive macroeconomic implications not only for the countries directly involved but also worldwide. This dissertation analyses the effects of the Russia-Ukraine War on the financial markets, more specifically on the stock market prices of companies and stock market indices of countries geographically close to the military conflict and/or with a history of integration into the defunct Union of Soviet Socialist Republics (USSR). It also aims to ascertain the existence of abnormal returns and the average length of stay. In addition, it aims to ascertain potential disparities in the results of companies from different sectors of activity, concluding on the possibility of both negative and positive abnormal returns. The empirical study is part of the event study methodology proposed by Fama et. al (1969) and Mackinlay (1997), which makes it possible to eliminate general economic conditions and differences in risk and return on assets. In addition, the Beaver Model (1968) is applied to analyse the reaction of share prices to the Russia-Ukraine War. The results suggest that Russia's invasion of Ukraine had a significant impact on share prices grouped by sector of activity and by market index, although there were different behaviours over the period of analysis. Overall, there was a net abnormal loss of shareholder wealth in the target countries, with the exception of the results obtained for the Kazakhstan and Poland market indices. The banking sector stands out as the sector most negatively affected by the military conflict due to the greater vulnerability of financial institutions to geopolitical tensions. In contrast, the energy and military sectors recorded positive net abnormal returns. The evidence indicates that the abnormal returns tend to remain for more than two weeks after the event.
Description
Keywords
Conflito Rússia-Ucrânia Estudo dos eventos Retornos anormais Mercados financeiros Russia-Ukraine war Abnormal returns Event study Financial markets