Impact of Russia-Ukraine war on US stock returns: A comparative analysis of High and Low ESG companies
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Date
2024-05-27Author
Phylactou, MariaPublisher
Πανεπιστήμιο Κύπρου, Σχολή Οικονομικών Επιστημών και Διοίκησης / University of Cyprus, Faculty of Economics and ManagementPlace of publication
CyprusGoogle Scholar check
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The thesis explores the connection between the ESG (Environmental Social Governance) score and abnormal returns during a recent geopolitical crisis, the Russian invasion of Ukraine. The purpose is to investigate whether the US firms that hold high ESG scores are impacted differentially compared to those with lower scores. Furthermore, the work will explore how the stocks of high and low ESG companies have fluctuated in the months pre and post the invasion date. The results reveal that two months before the war, the abnormal stock returns of low ESG firms began to surpass those of companies associated with high ESG. However, this effect diminished as the official beginning of the war approached. The analysis consists of two main procedures. The first one is the implementation of the fixed-effect-panel-threshold-model and the data were separated into High and Low ESG groups according to the threshold estimation. Then, multiple regression analysis will be used for the two regimes, to explore the data further. This method would enable to comprehend the influence of certain months on High vs low ESG stock returns.