Arbeitspapier beim "Journal of Money, Credit, and Banking" angenommen

Wir freuen uns, dass das Arbeitspapier Federle/Meier/Müller/ Sehn "Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine" im "Journal of Money, Credit, and Banking" zur Veröffentlichung angenommen wurde.

Abstract: We identify a "proximity penalty" in the stock market response to the Russian invasion of Ukraine: the closer countries are to Ukraine, the lower their equity returns in a four-week window around the start of the war. This result holds even at the firm level within Ukraine's neighbors. Trade linkages explain two thirds of the proximity penalty. We attribute the remainder - 1.1 percentage points in equity returns per 1,000 kilometers of extra distance - to military disaster risk. Evidence from other financial data, geopolitical risk indicators and aid flow statistics supports the relevance of military tail risk as a spillover channel.

Link zum Artikel: Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine