Market reactions to the Russia-Ukraine war

: an event study of European equity returns across countries and industry sectors

Abstract

This dissertation examines the short-term financial impact of the Russia-Ukraine war on European equity markets, focusing on differences across countries and industry sectors. An event study methodology is employed, combined with cross-sectional regression analysis, to measure cumulative abnormal returns (CARs) around the invasion date and to identify the main drivers of market responses. Findings show broadly negative CARs before and after the event, reflecting heightened investor uncertainty. Countries closer to the conflict or more reliant on Russian energy, such as Poland, Austria, Germany, and Italy, suffered deeper declines. In contrast, Norway showed greater resilience. Defensive sectors like Health Care and Utilities remained relatively stable, while Financials and Consumer Discretionary experienced persistent losses. The regression analysis confirms that energy dependency and trade exposure to Ukraine significantly worsened CARs, while continued trade with Russia contributed to short-term market stability. Larger economies and more profitable firms were more resilient, while highly leveraged firms and those exposed to inflationary pressures were more vulnerable. This study provides relevant insights for investors and policymakers by highlighting how geopolitical shocks affect financial markets and by underscoring the importance of diversification strategies and structural resilience.

Date of Award	3 Jul 2025
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Mário Meira (Supervisor)