The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach
Journal: Studia Universitatis Babeş-Bolyai. Oeconomica
Year: 2023

Abstract This paper evaluates the reaction of systemically important banks in Europe to the shock of the Russian invasion of Ukraine in 2022. Using the event study methodology and three of the most commonly used models for estimating theoretical returns (CAPM, Fama-French with 3 factors, Fama-French with 5 factors), we show that banks react differently relative to the event date (February 24, 2022) depending on the country. Overall, systemically important banks recorded massive cumulative abnorm