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Announcements of Sanctions and the Russian Equity Market: An Event Study Approach

Author

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  • Pavel Dovbnya

    (New Economic School)

Abstract
The research question raised in this paper is an investigation of the effect of the announcement of US and EU sanctions on the stock returns of the targeted companies listed on the Moscow Exchange. The strategy for identification is based on firm-specific and multivariate short-term event studies. Firm-specific event study of eight sanctions that targeted 14 entities at different times results in a statistically significant 5.4% estimate of the expected cumulative abnormal return within a window of seven trading days.

Suggested Citation

  • Pavel Dovbnya, 2020. "Announcements of Sanctions and the Russian Equity Market: An Event Study Approach," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 74-92, March.
    • Handle: RePEc:bkr:journl:v:79:y:2020:i:1:p:74-92
    DOI: 10.31477/rjmf.202001.74
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    sanctions; Russian equity market; event studies; abnormal returns; MOEX;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions

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