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This study measures the immediate impact of Russia–Ukraine war on the global stock markets for the first four months since Russia’s first invasion attempt on February 24, 2022. Daily closing stock indices have been used from selected stock markets of six different continents. By applying event study method, it observes mixed impact on different sto...
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Citations
... именная, предъявительская, дематериализованная, долговая, долевая ценная бумага и т.д. Блокировка прав собственности российских инвесторов на ценные бумаги носит временный, но не постоянный характер ограничений 3 . Тем не менее она не позволяет применить полномочия держателей ценных бумаг к их приобретению или реализации на организованном рынке. ...
... Чоудхури и И.И. Хана [3], А. Боссмана, М. Губаревой и др. [4], Х.В. ...
Subject. This article focuses on development of classification of blocked securities as valuation objects. Objectives. The article aims to draw up a classification of blocked securities as objects of valuation in the context of demanded return of Russian capital providers? investment resources on the organized OTC market. Methods. For the study, I used systems and comparative analyses, content analysis of international legal acts and works of scientific literature, methods of generalization and grouping, and the graphic method. Results. The article reveals that for a valid assets value assessment, it is advisable to divide the valuation objects into six groups containing various types of adjustments, taking into account external circumstances of its blocking. Conclusions. The application of the author-developed classification guarantees Russian investors the most reliable result of assessing the market value of blocked securities.
... With the increasing prosperity of the stock market, researchers are seeking additional features to assist in predicting stock changes (Chowdhury & Khan, 2024;Ji et al., 2024). Particularly, studying the impact of emergency events on the stock market requires the utilization of effective external features. ...
The impact of emergency events on the stock market cannot be underestimated, as their unpredictability poses significant challenges to investors’ stock operations. This calls for researchers and investors to seek more effective features and reasonable methods to mitigate risks. In the context of multi-feature prediction methods, analyzing the correlation between multi-dimensional features or data has always been a challenging issue. This paper proposes a stock market index prediction framework based on an encoder-decoder architecture (MF-EDNet). The framework leverages the dynamic correlation between stock data and futures data as prior knowledge, integrating features of both internal sequences (industry indices) and external sequences (futures data) to capture the impact of emergency events on the stock market. The newly proposed Multi-Dimensional Convolutional Attention Module (MCAM) further enhances the feature extraction and attention capabilities of the attention mechanism. Experiments on multiple industry indices in the Chinese stock market demonstrate that MF-EDNet can effectively extract important features from stock and futures data, exhibiting good predictive performance under emergency events. The proposed MF-EDNet model achieved improvements of 35.8% and 22.9% in the Matthews correlation coefficient (MCC), a 3.3% increase in accuracy (ACC) and a 7.86% enhancement in profit compared to previous state-of-the-art methods.
... The regression coefficients estimated in the estimation window are then used to generate expected values in the evaluation window. The economic models may seem appealing in that they involve more variables and go beyond stock-index relationship, Brenner (1997), MacKinlay (1997, and Chowdhury and Khan (2023) argued that the additional variables often provide relatively little reduction in the unexplained variance and the market model is practically the preferred one. ...
... The study is carried out at the index level based on MacKinlay (1997) and Chowdhury and Khan (2023). Thus, country specific indices are compared to the global one. ...
121 This work is licensed under a Creative Commons Attribution 4.0 International License. The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of different stock markets to the Russo-Ukrai-nian war in 2022. The 12 stock markets are represented by the relevant indices and benchmarked against the MSCI World Index. The markets considered include developed, emerging, and frontier ones. The results suggest the presence of the proximity penalty. Especially, Poland showed the highest correction during the event day. The markets outside Europe (the US, Canada, and Australia) did not show significant cumulative abnormal returns for the whole event window, yet such corrections were noted for certain sub-periods within the window. These results can be used for designing risk management strategies in the Central and Eastern Europe.
... Несмотря на значимость темы, в настоящее время ощущается недостаток исследований по работе с заблокированными активами. Большинство работ посвящено влиянию санкций на экономику, мерам противодействия, механизмам государственного регулирования и разработке возможных инструментов по защите прав инвесторов, пострадавших в результате блокировки активов [6][7][8][9][10] или влиянию на отдельные отрасли экономики и ценообразование [11,12]. Ряд работ посвящен анализу влияния санкций и макроэкономических показателей на финансовый рынок, причем не только российский, но и европейский, и мировой [13][14][15], на стоимость акций и оценку доходности и риска ценных бумаг и фондовых индексов, а также на возможные механизмы для инвесторов по работе с заблокированными активами [16][17][18]. ...
... Реализация данной меры невозможна без поддержки со стороны государства и потребует дополнительного законодательного регулирования, при этом будет способствовать поддержке инвестиционной активности и развитию экономики. 9 Федеральный закон от 05.03.1999 № 46-ФЗ «О защите прав и законных интересов инвесторов на рынке ценных бумаг» (в последней редакции). URL: http://pravo.gov. ...
The rights of Russian investors owning foreign financial assets were violated as a result of the introduction of foreign sanctions, which blocked these securities for an indefinite period. This problem is widely discussed both in the professional environment and at the state level, and a search is underway for ways to solve the current situation.
The purpose of this paper is to propose specific tools for working with blocked financial assets — assessing their value, profitability of formed portfolios, taking into account risk.
The authors have developed a model for assessing blocked foreign securities, taking into account sanctions risk, while this risk is considered a type of credit risk. As a result of implementing the model, the fair value of blocked assets is determined, which can be used to determine the value of portfolios containing blocked securities; when creating special insurance and credit products aimed at protecting the rights and income of investors, as well as when the regulator develops recommendations for assessing blocked assets for further work with them.
... It was estimated that 90% of the country's population could fall below the poverty line [56]. Recent research has explored the war's effect on global equity markets, [14,19] demonstrated that the invasion caused negative cumulative abnormal returns for overall stock market indices, highlighting how international conflicts make countries' economies vulnerable. ...
Stock markets are highly volatile, complex, non-linear, and stochastic. Therefore, predicting stock market behavior is one of finance’s most complex challenges. Recently, political, health, and economic crises have profoundly impacted global stock prices, leading researchers to use machine learning to predict prices and analyze financial data. This article delves into two primary facets: firstly, examining stock price responses to the Russia-Ukraine war and the COVID-19 pandemic by assessing volatility and draw-downs from 2018 to 2023. Secondly, we introduce a framework named StockPredCris, designed to predict future stock indices employing two machine learning algorithms: Support Vector Regression (SVR) and eXtreme Gradient Boosting (XGBoost). Our experiments are conducted on four major stock market indices (NASDAQ, Russell 2000, DAX, and SSE) using a combination of historical stock index data and COVID-19 pandemic data. The performance of the implemented models is evaluated using five regression metrics along with the CPU time metric. The results of SVR demonstrates superior performance and signifcantly outperforms the other considered models for benchmarking. For instance, SVR achieved 0.0 MSE and 99.99% R2 for the four stock indices, with training times between 0.005 and 0.007 seconds. We recommend SVR for predicting future stock prices during crises. This study offers valuable insights for financial decision-makers, guiding them in making informed choices by understanding stock market reactions to major global crises, while addressing the uncertainty and fear of investors.
... Political risk includes the potential for adverse impacts on the financial returns of a company engaged in international investment due to government actions. It negatively affects stock market returns (Dimic et al., 2015;Jones & Banning, 2008;Li & Born, 2006), increases stock market volatility (Kapar & Buigut, 2000;Chowdhury & Khan, 2023;Nippani & Medlin, 2002), and impacts market efficiency (Gemmil, 1992). Mei and Guo (2004) explored the link between political uncertainty, financial crises, and market volatility, finding that political uncertainty contributes to increased market volatility, particularly during financial crises. ...
Against the backdrop of the Russia–Ukraine (R–U) conflict, this paper investigates the convergence process of the bond market in East Asia from 2010 to 2024, focusing on the impact of the R–U crisis on bond yield convergence. Our findings show convergence toward both benchmarks, with an accelerated rate during the conflict. Malaysia, China, Indonesia, and the Philippines exhibit significant convergence toward Japan, particularly for long-term bonds, while the Philippines consistently converges toward the United States. Large discrepancies in interest rates and inflation spreads cause bond yield divergence, while geopolitical risk related to Russia narrows bond yield spreads, indicating a flight-to-quality effect. Conversely, global financial risk widens yield spreads to the U.S. benchmark but narrows them to Japan. This research highlights bond market convergence in East Asia amid geopolitical tensions, with significant implications for investors, policymakers, and researchers.
... This suggests the variables are interconnected and influence each other to some extent (Haider and Tehseen, 2022). It is noteworthy that the correlation between CO and EBS is insignificant, indicating that the presence of challenges and opportunities in the business environment might not have a direct effect on entrepreneurship and business success (Aghaei and Sokhanvar, 2020;Chowdhury and Khan, 2023). ...
This paper explores the effect of traditional practices and cultural norms on entrepreneurship and business success in Bangladesh. Using a constructive survey questionnaire, data was collected from 172 businesspersons. Factor analysis and regression analysis were employed to analyze the data. The findings highlight that traditional family structures, gender roles, social hierarchies and traditional business networks significantly influence entrepreneurship in Bangladesh. These factors can either enable or hinder entrepreneurial activities, access to resources and funding, and decision-making processes. The study also identifies challenges faced by entrepreneurs because of traditional practices and cultural norms, such as limited resources for female entrepreneurs and barriers to fair competition. Based on the findings, implications are drawn for policy development, programming within educational institutions and entrepreneurial practice.
... Political risk includes the potential for adverse impacts on the financial returns of a company engaged in international investment due to government actions. It negatively affects stock market returns (Dimic et al., 2015;Jones & Banning, 2008;Li & Born, 2006), increases stock market volatility (Kapar & Buigut, 2000;Chowdhury & Khan, 2023;Nippani & Medlin, 2002), and impacts market efficiency (Gemmil, 1992). Mei and Guo (2004) explored the link between political uncertainty, financial crises, and market volatility, finding that political uncertainty contributes to increased market volatility, particularly during financial crises. ...
In the backdrop of the geopolitical conflict between Russia and Ukraine, this paper investigates the convergence process of the bond market in East Asia from 2010-2022. Specifically, it explores how the Russia-Ukraine crisis has influenced the bond yield convergence dynamics in the region. Utilizing the beta convergence method, a novel approach in this context, the study reveals a gradual convergence process that intensifies amidst geopolitical tensions, signaling a flight to quality. The acceleration of convergence during the conflict suggests heightened investor risk aversion, particularly in lower-middle-income countries. This research fills a gap in the literature by spotlighting bond market convergence in East Asia amid significant geopolitical tensions. It holds significant implications for investors, policymakers, and researchers , emphasizing the profound effects of geopolitical conflicts on regional financial markets and underscores the interconnected nature of global financial dynamics.
Subject. This article examines the expediency and possibilities of assessing the value of blocked shares of foreign issuers on the basis of the application of cost, income, comparative approaches and their inherent valuation methods for the purpose of further use, including the sale of assets by their owners on the organized over-the-counter market. Objectives. The article aims to substantiate the relevance of the application of the author-developed assessment methodology concerning blocked securities in the context of the demanded return of investment resources of Russian investors on the organized OTC market. Methods. For the study, I used the methods of systems and comparative analyses, as well as the comparative approach, paired sales method, and graphical method. Results. The article finds that the use of a comparative approach for a fair assessment of the value of blocked shares of foreign issuers, which includes an adjustment (discount) of the exchange quotation of the security and takes into account the circumstances of blocking in relation to the assets being valued, is possible only by the method of paired sales. Conclusions. The article concludes that the application of the author-developed methodology for evaluating blocked securities on the basis of the comparative approach and the paired sales method for involvement in economic turnover or transactions in the OTC market guarantees the most reliable results and seems to be the most relevant.
Purpose
This study aims to underline the unique reactions of stock markets to the event of war. The paper undertakes a comparative assessment of the impact of the ongoing Israel war on selected indexes of leading stock markets.
Design/methodology/approach
The research design of this study is based on the autoregressive conditional heteroscedasticity models (Bollerslev, 1986; Nelson, 1991) to examine returns and volatilities, the event study methodology (Fama et al. , 1969) to assess abnormal returns surrounding event days and the quantile regression approach (Koenker and Bassett, 1978) to further appraise the robustness of the results. The dataset includes principal stock exchanges collected from international markets and from the region of the war.
Findings
The results indicated a significant effect of the war on the volatility and returns of the selected markets. The cumulative abnormal returns revealed several distinctive findings. Among them, two seminal indications can be pointed out. First, the considerable declines to the war were identified at the event window [2, 11] for the entire sample of capital markets. Second, a salient number of stock exchanges established positive reactions during the post-event period of the war. This outcome suggests that abnormal profits are possible instantaneously after the war. Further, the results of the quantile regression analysis demonstrated that international stock markets are not showing substantial responses to the war, and regional stock markets disclosed significant positive effects. In a nutshell, the results are in line with the efficient market hypothesis. They documented the significance of wars to abnormal returns of stock markets.
Research limitations/implications
The findings of the paper are notable for investment decisions and portfolio management. Evidence proposed that the performance of advanced markets is favorable during the war. Investors and market participants can adopt this output to enhance investment strategies to achieve sustainable returns. Further, this paper highlighted a necessity to design policies to support financial activities in stock markets that displayed damages due to the war. Such policies call for close collaborations between policymakers and business leaders. Besides, the limitation of the research is possibly the exclusion of control variables due to a lack of data.
Originality/value
This study is considered the first to originate a comparative analysis of the effect of the current Israel war on selected stock exchanges. Further, it challenges findings that wars have a durable negative effect on overall stock markets. Therefore, the core results contribute prominent evidence to the steadily growing literature on the performance of stock markets during wartime.
