The Effect of the Russia-Ukraine War on Stock Returns: An Application on BIST Electricity Index

Yıl 2024, , 159 - 171, 14.03.2024

Emre Aktümsek , Ilkut Elif Kandil Goker , Binali Selman Eren

https://doi.org/10.17218/hititsbd.1375490

Öz

Russia recognized the independence of Donetsk and Luhansk regions on February 21, 2022. Three days later, following Putin's speech on Russian state television 'on the conduct of a special military operation', Russian troops invaded Ukrainian territory on February 24, 2022. The response of the developed economies has been the rapid imposition of economic and financial sanctions against Russia. After the sanctions were imposed in the immediate aftermath of the Russian invasion, the Russian ruble depreciated by 20.7% against the US dollar in a single trading day (February 28, 2022). Besides, the Russia-Ukraine war also affected the supply of crude oil, the world's most traded and utilized commodity. Crude oil has economic importance and a constant link to many other financial and commodity markets. The war therefore had a global impact on financial markets and investor behavior, even though it directly involved only two countries. This study examines the effect of the Russia-Ukraine war on the stock returns of companies listed in the BIST electricity index. It is aimed to contribute to the empirical findings on the investor reaction to the fluctuations in global markets on February 24, 2022, when Russia announced that it had launched a military operation against Ukraine. There are numerous empirical findings in the literature that negative cumulative abnormal returns have been observed in global stock markets since the beginning of the Russia-Ukraine war. From this point of view, this study aims to determine the impact of the Russian-Ukrainian war on the stock returns of BIST electricity index companies that are most related to energy production and consumption. The empirical analysis of the study is based on the event study method used to analyze the impact of sudden events on the stock market. Normal returns are calculated using data from the forecast window. Among all models, the Ordinary Least Squares (OLS) market model gives the most superior results for an event study analysis. To measure investors' reaction to the event, we calculate the daily abnormal return (AR) for each day in the event window and then the cumulative abnormal return (CAR) for each day in the event window by summing these returns. AR is defined as the difference between the actual return of the security on a given day and the expected return predicted by any forecasting model. In the study, average abnormal returns (AAR) are calculated 10 days before and 10 days after the event (-10..+10) to observe the pre-event and post-event investor reaction. In the second stage, cumulative average abnormal returns (CAAR) were calculated in seven different windows (-1,+1), (-2,+2), (-3,+3), (-4,+4), (-5,+5), (-6,+6) and (-7,+7). Statistical significance of all CAAR and AAR values are tested with both parametric and non-parametric tests. Accordingly, on the event day of February 24, 2022 (0 AAR window), investors had a strong negative return of approximately 5% compared to the benchmark index, the BIST 100 index. Energy companies were found to have negative CAARs in all event windows in the second phase. Within these windows, the highest negative CAAR value compared to the BIST 100 was realized at -5.5% in the event window (-3,+3). It is thought that this situation may have resulted from the panic selling of the investors. The findings show that the stocks of BIST energy companies faced statistically significant negative returns in the face of the outbreak of the Russia-Ukraine war. It is thought that this situation may be due to the investors' directing their investments to markets that are expected to be less affected by the war, or to other sectors due to the uncertainty in the energy sector.

Anahtar Kelimeler

Russia-Ukraine War, BIST Electricity Index, Event Study, Investor Reaction, Stock Return

Rusya-Ukrayna Savaşının Hisse Senedi Getirileri Üzerindeki Etkisi: BIST Elektrik Endeksi Üzerine Bir Uygulama

Öz

Rusya, 21 Şubat 2022'de Donetsk ve Luhansk bölgelerinin bağımsızlığını tanımıştır. Üç gün sonra, Putin'in Rus devlet televizyonunda 'özel bir askeri operasyonun yürütülmesine ilişkin' yaptığı konuşmanın ardından, Rus birlikleri 24 Şubat 2022'de Ukrayna topraklarını işgal etmiştir. Gelişmiş ekonomilerin buna yanıtı, Rusya'ya karşı hızla ekonomik ve mali yaptırımlar uygulamak şeklinde olmuştur. Rus işgalinin hemen ardından uygulanan yaptırımların ardından, Rus rublesi tek bir işlem gününde (28 Şubat 2022) ABD doları karşısında %20,7 değer kaybetmiştir. Ayrıca Rusya-Ukrayna savaşı, dünyanın en çok ticareti yapılan ve kullanılan emtiası olan ham petrol arzını da etkilemiştir. Ham petrolün ekonomik önemi ve diğer birçok finans ve emtia piyasasıyla sürekli bir bağlantısı vardır. Dolayısıyla savaş, sadece iki ülkeyi doğrudan ilgilendirmesine rağmen, finansal piyasalar ve yatırımcı davranışları üzerinde küresel bir etkiye sahip olmuştur. Bu çalışma Rusya-Ukrayna savaşının BIST elektrik endeksinde yer alan şirketlerin hisse senedi getirileri üzerindeki etkisini incelemektedir. Rusya’nın Ukrayna’ya askerî harekât başlattığını duyurduğu 24 Şubat 2022 tarihi ve sonrasında küresel piyasalarda yaşanan dalgalanmalara karşı yatırımcı tepkisine ilişkin ampirik bulgulara katkı sağlanması amaçlanmıştır. Literatürde Rusya-Ukrayna savaşının başlangıcından bu yana küresel hisse senedi piyasalarında negatif kümülatif anormal getirilerin gözlemlendiğine dair çok sayıda ampirik bulgu mevcuttur. Bu noktadan hareketle, bu çalışma Rusya-Ukrayna savaşının enerji üretimi ve tüketimi ile en çok ilgili olan BIST elektrik endeksi şirketlerinin hisse senedi getirileri üzerindeki etkisini belirlemeyi amaçlamaktadır. Çalışmanın ampirik analizi, ani olayların borsa üzerindeki etkisini analiz etmek için kullanılan olay çalışması yöntemine dayanmaktadır. Normal getiriler, tahmin penceresindeki veriler kullanılarak hesaplanmıştır. Tüm modeller arasında, Sıradan En Küçük Kareler (OLS) piyasa modeli, bir olay çalışması analizi için en üstün sonuçları vermektedir. Yatırımcıların olaya tepkisini ölçmek için, olay penceresindeki her gün için günlük anormal getiri (AR) ve daha sonra bu getirileri toplayarak olay penceresindeki her gün için kümülatif anormal getiri (CAR) hesaplanmıştır. AR, menkul kıymetin belirli bir gündeki gerçek getirisi ile herhangi bir tahmin modeli tarafından öngörülen beklenen getiri arasındaki fark olarak tanımlanır. Çalışmada, olay öncesi ve olay sonrası yatırımcı tepkisini gözlemlemek için olay gününden 10 gün önce ve olay gününden 10 gün sonraki (-10..+10) dönemde ortalama anormal getiriler (AAR) hesaplanmıştır. İkinci aşamada ise (-1,+1), (-2,+2), (-3,+3), (-4,+4), (-5,+5), (-6,+6) ve (-7,+7) olarak belirlenen yedi farklı pencerede birikimli ortalama anormal getiriler (CAAR) hesaplanmıştır. Tüm CAAR ve AAR değerlerinin istatistiksel anlamlılığı hem parametrik ve hem de parametrik olmayan testlerle sınanmıştır. Buna göre, 24 Şubat 2022 tarihli olay gününde (0 AAR penceresi) yatırımcıların karşılaştırma endeksi olan BIST 100 endeksine nazaran güçlü yönde yaklaşık % 5 negatif bir getiri elde ettiği gözlemlenmiştir. İkinci aşamadaki tüm olay pencerelerinde de enerji şirketlerinin negatif CAAR elde ettikleri tespit edilmiştir. Bu pencereler içinde BIST 100’e kıyasla en yüksek negatif CAAR değerinin (-3,+3) olay penceresinde -%5,5 oranında gerçekleştiği tespit edilmiştir. Bu durumun yatırımcıların panik satışından kaynaklanmış olabileceği düşünülmektedir. Elde edilen bulgular Rusya-Ukrayna savaşının çıkması karşısında BIST enerji şirketlerinin hisse senetlerinin istatistiksel olarak anlamlı, negatif getiri ile karşılaştıklarını göstermektedir. Bu durumun yatırımcıların savaşla birlikte enerji sektörü yatırımlarını savaştan daha az etkilenmesi beklenen piyasalara yöneltmelerinden ya da enerji sektöründe ortaya çıkan belirsizlik nedeniyle başka sektörlere yönelmelerinden kaynaklanabileceği düşünülmektedir.

Anahtar Kelimeler

Rusya-Ukrayna Savaşı, BIST Elektrik Endeksi, Olay Çalışması, Yatırımcı Tepkisi, Hisse Senedi Getirisi

Kaynakça

• Adekoya, O. B., Oliyide, J. A., Yaya, O. S., & Al-Faryan, M. A. S. (2022). Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga. Resources Policy, 77, 102728, https://doi.org/10.1016/j.resourpol.2022.102728
• Ahmed, S., Hasan, M. M., & Kamal, M. R. (2022). Russia–Ukraine crisis: The effects on the European stock market, European Financial Management, 29, 1178-1118. https://doi.org/10.1111/eufm.12386
• Aklin, M. (2018). How robust is the renewable energy industry to political shocks? Evidence from the 2016 US elections. Business and Politics, 20(4), 523-552. https://doi.org/10.1017/bap.2018.15
• Benninga, S. (2014). Financial modeling. (5th ed.)The MIT Press.
• Betzer, A., Doumet, M., & Rinne, U. (2013). How policy changes affect shareholder wealth: the case of the Fukushima Dai-ichi nuclear disaster. Applied Economics Letters, 20(8), 799-803. https://doi.org/10.1080/13504851.2012.748172
• Birindelli, G., & Chiappini, H. (2021). Climate change policies: Good news or bad news for firms in the European Union?. Corporate Social Responsibility and Environmental Management, 28(2), 831-848. https://doi.org/10.1002/csr.2093
• Boubaker, S., Goodell, J. W., Pandey, D. K., & Kumari, V. (2022). Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. Finance Research Letters, 48, 102934. https://doi.org/10.1016/j.frl.2022.102934
• Boungou W., & Yatie, A. (2022). The impact of the Ukraine–Russia war on world stock market returns, Economic Letters, 215, 110516. https://doi.org/10.1016/j.econlet.2022.110516
• Chortane, S. G., & Pandey, D. K. (2022). Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale. The Journal of Economic Asymmetries, 26, e00265. https://doi.org/10.1016/j.jeca.2022.e00265
• Crowley, M. A., Meng, N., & Song, H. (2019). Policy shocks and stock market returns: Evidence from Chinese solar panels. Journal of the Japanese and International Economies, 51, 148-169. https://doi.org/10.1016/j.jjie.2019.02.006
• Diaz-Rainey, I., Gehricke, S. A., Roberts, H., & Zhang, R. (2021). Trump vs. Paris: The impact of climate policy on US listed oil and gas firm returns and volatility. International Review of Financial Analysis, 76, 101746. https://doi.org/10.1016/j.irfa.2021.101746
• Du, J., Li, Z., & Wang, J. (2022). The reaction of energy markets to regional conflict: evidence from event study approach. Procedia Computer Science, 214, 935-942. https://doi.org/10.1016/j.procs.2022.11.262
• Dyckman, T., D. Philbrick, & J. Stephan (1984). A comparison of event study methodologies using daily stock returns: A simulation approach, Journal of Accounting Research, 22, 1–30. https://doi.org/10.2307/2490855
• Endrikat, J. (2016). Market reactions to corporate environmental performance related events: A meta-analytic consolidation of the empirical evidence. Journal of Business Ethics, 138, 535-548. https://www.jstor.org/stable/44164181
• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
• Ferstl, R., Utz, S., & Wimmer, M. (2012). The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study. Business Research, 5, 25-41. http://dx.doi.org/10.2139/ssrn.1842544
• Gu, X., Zhang, W., & Cheng, S. (2021). How do investors in Chinese stock market react to external uncertainty? An event study to the Sino-US disputes. Pacific-Basin Finance Journal, 68, 101614. https://doi.org/10.1016/j.pacfin.2021.101614
• Herbst, A. F., Marshall, J. F., & Wingender, J. (1996). An analysis of the stock market's response to the Exxon Valdez disaster. Global Finance Journal, 7(1), 101-114. https://doi.org/10.1016/S1044-0283(96)90016-2
• Humphrey, P., Carter, D. A., & Simkins, B. (2016). The market’s reaction to unexpected, catastrophic events: The case of oil and gas stock returns and the Gulf oil spill. The Journal of Risk Finance, 17(1), 2-25. https://doi.org/10.1108/JRF-08-2015-0072
• Jacobs, B. W., Singhal, V. R., & Subramanian, R. (2010). An empirical investigation of environmental performance and the market value of the firm. Journal of Operations Management, 28(5), 430-441. https://doi.org/10.1016/j.jom.2010.01.001
• Kandil Göker, İ. E., Eren, B. S., & Karaca, S. S. (2020). The Impact of the COVID-19 (Coronavirus) on The Borsa Istanbul Sector Index Returns: An Event Study. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 14-41. https://doi.org/10.21547/jss.731980
• Kolari, J. W., & Pynnonen, S. (2011). Nonparametric rank tests for event studies. Journal of Empirical Finance, 18(5), 953-971, https://doi.org/10.1016/j.jempfin.2011.08.003
• Kumari, V., Kumar, G., & Pandey, D. K. (2023). Are the European Union stock markets vulnerable to the Russia–Ukraine war?. Journal of Behavioral and Experimental Finance, 37, 100793. https://doi.org/10.1016/j.jbef.2023.100793
• Maneenop, S. & Kotcharin, S. (2020). The impacts of COVID-19 on the global airline industry: An event study approach, Journal of Air Transport Management, 89. https://doi.org/10.1016/j.jairtraman.2020.101920
• Mukanjari, S., Sterner, T. (2023). Do markets Trump politics? Fossil and renewable market reactions to major political events, Economic Inquiry, https://doi.org/10.1111/ecin.13195
• Nerger, G. L., Huynh, T. L. D., & Wang, M. (2021). Which industries benefited from Trump environmental policy news? Evidence from industrial stock market reactions. Research in International Business and Finance, 57, 101418. https://doi.org/10.1016/j.ribaf.2021.101418
• Nerlinger, M., & Utz, S. (2022). The impact of the Russia-Ukraine conflict on energy firms: A capital market perspective. Finance Research Letters, 50, 103243, https://doi.org/10.1016/j.frl.2022.103243
• OEC (2023). The Observatory of Economic Complexity Erişim adresi: https://oec.world/en/profile/country/rus Patell, J. M. (1976). Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of Accounting Research, 246-276, https://doi.org/10.2307/2490543
• Patten, D. M., & Nance, J. R. (1998). Regulatory cost effects in a good news environment: The intra-industry reaction to the Alaskan oil spill. Journal of Accounting and Public Policy, 17(4-5), 409-429. https://doi.org/10.1016/S0278-4254(98)10007-8
• Pham, H. N. A., Ramiah, V., & Moosa, I. (2020). The effects of environmental regulation on the stock market: the French experience. Accounting & Finance, 60(4), 3279-3304. https://doi.org/10.1111/acfi.12469
• Pham, L., Hao, W., Truong, H., & Trinh, H. H. (2023). The impact of climate policy on US environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness. Energy Economics, 119, 106564. https://doi.org/10.1016/j.eneco.2023.106564
• Ramelli, S., Wagner, A.F., (2020). Feverish stock price reactions to COVID-19. The Review of Corporate Finance Studies, 9(3), 622–655. https://doi.org/10.1093/rcfs/cfaa012
• Ramiah, V., Morris, T., Moosa, I., Gangemi, M., & Puican, L. (2016). The effects of announcement of green policies on equity portfolios: Evidence from the United Kingdom. Managerial Auditing Journal, 31(2), 138-155. https://doi.org/10.1108/MAJ-08-2014-1065
• Ramiah, V., Pham, H. N., & Moosa, I. (2017). The sectoral effects of Brexit on the British economy: early evidence from the reaction of the stock market. Applied Economics, 49(26), 2508-2514. https://doi.org/10.1080/00036846.2016.1240352
• Sabet, S. A. H., Cam, M. A., & Heaney, R. (2012). Share market reaction to the BP oil spill and the US government moratorium on exploration. Australian Journal of Management, 37(1), 61-76. https://doi.org/10.1177/03128962114273
• Santorsola, M., Caferra, R., & Morone, A. (2022). The financial repercussions of military escalation. Physica A: Statistical Mechanics and its Applications, 603, 127791. https://doi.org/10.1016/j.physa.2022.127791
• Shi, Y., Wang, L., & Ke, J. (2021). Does the US-China trade war affect co-movements between US and Chinese stock markets?. Research in International Business and Finance, 58, 101477. https://doi.org/10.1016/j.ribaf.2021.101477
• Tversky, A., & Kahneman, D. (1973). Availability: A heuristic for judging frequency and probability. Cognitive psychology, 5(2), 207-232. https://doi.org/10.1016/0010-0285(73)90033-9
• Umar, M., Riaz, Y., & Yousaf, I. (2022). Impact of Russian-Ukraine war on clean energy, conventional energy, and metal markets: Evidence from event study approach. Resources Policy, 79, 102966. https://doi.org/10.1016/j.resourpol.2022.102966
• Wagner, A.F., Zeckhauser, RJ, Ziegler, A. (2018). Company stock price reactions to the 2016 election shock: Trump, taxes, and trade, Journal of Financial Economics, 130(2), 428-451. https://doi.org/10.1016/j.jfineco.2018.06.013
• Yousaf, I., Patel, R., & Yarovaya, L. (2022). The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach. Journal of Behavioral and Experimental Finance, 35, 100723. https://doi.org/10.1016/j.jbef.2022.100723
• Zhao, X., Fan, Y., Fang, M., & Hua, Z. (2018). Do environmental regulations undermine energy firm performance? An empirical analysis from China’s stock market. Energy Research & Social Science, 40, 220-231. https://doi.org/10.1016/j.erss.2018.02.014