The influence of Western Sanctions on the stock market of Russia and G7 member states
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2023-08-10
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en
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In this study the impact of the imposition of Western sanctions on the Russian and G7 members stock market is examined using the event study approach. The study examines the abnormal returns (AR) and the cumulative abnormal returns (CAR) of the Russian MOEX index, Canadian S&P/TSX Composite Index, French CAC 40, German DAX 40, Italian FTSE MIB, Japanese Nikkei 225, U.K. FTSE and de U.S. DJI during six events. In order to calculate the (AR) and (CAR) the market model is used. The events are based on the imposition of initial and additional sanctions after three actions of Russian aggression i) the annexation of the Crimea ii) the downing of the MH17-flight iii) the Russian invasion of Ukraine. The analyses of the abnormal returns show a strong negative impact on the Russian stock market during the events of the downing of the MH17 flight and the Russian invasion. Analysing the European members of the G7 a significant negative impact was found after the Russian invasion. The American and Canadian stock markets showed significant positive returns after the Russian invasion and there was no effect on the Japanese stock market after this event.
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Faculteit der Managementwetenschappen