How did Russia’s invasion of Ukraine on the 24 February 2022 affect global financial markets in terms of abnormal returns, volatility and regional transmission?
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- This thesis analyzes the impact of Russia’s invasion of Ukraine on 24 February 2022 on global financial markets. The main objective is to understand how this geopolitical shock affected stock returns, volatility, and regional transmission across countries and asset classes. The stock market indices are used as proxies for countries or regions, such as the CAC for France, the DAX for Germany, and the BUX for Hungary. The empirical framework combines three complementary methods: an event study, GARCH/EGARCH volatility models, and panel data regressions. The results show that the impact of the invasion was not uniform across markets. Overall, the thesis concludes that the invasion created a differentiated geopolitical-financial shock, strongly dependent on each market’s geographic and economic exposure.