The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine
10 Pages Posted: 7 Jan 2015
Date Written: January 6, 2015
Abstract
We analyze the impact of the pro-Russian conflict on stock returns in Russia and the Ukraine during the period November 21, 2013 to September 29, 2014. We utilize a newly created indicator for the degree of (de-)escalation based on an Internet search for conflict-related news. We find that intensification of the conflict reduces Russian and Ukrainian stock returns. The (de-)escalation of the pro-Russian conflict in the Ukraine accounts for a total variation of 6.5 (8.7) percentage points in the Russian (Ukrainian) stock market.
Keywords: Conflict-Related News, Pro-Russian Conflict, Russia, Sanctions, Stock Returns, Ukraine
JEL Classification: F30, G12, G14, G15
Suggested Citation: Suggested Citation