Stay or Leave? How the Policy of Business Cooperation with Russia Affected Value and Price of Listed Companies: Evidence from Dow Jones, DAX and WIG20
Authors: Antonowicz Alicja , Antonowicz Paweł , Siciński Jędrzej 
Published: January 2024

Theoretical background: The crisis situation in the aftermath of the military conflict triggered by Russia’s invasion of Ukraine has caused a significant reaction from financial markets. Not only the Russian RTSI index, but also the stock indexes of neighbouring countries (Poland, Germany), as well as the U.S. indices (NDX, US30, US500), declined in value in the following months of the war, which was a direct result of the declining capitalisation of their component companies. A team of Yale University researchers undertook a classification study on a group of more than 1,000 global companies, grouping them according to the strategy (business model) they adopted in the face of the response to Russian aggression against Ukraine. These groups were, in particular: (1) Grade F – defying Demands for Exit or Reduction of Activities: companies that are just continuing business-as-usual in Russia; (2) Grade D – Holding Off New Investments/Development: companies postponing future planned investment/development/marketing while continuing substantive business; (3) Grade C – Reducing Current Operations: companies that are scaling back some significant business operations but continuing some others; (4) Grade B – Keeping Options Open for Return: companies temporarily curtailing most or nearly all operations while keeping return options open; and (5) Grade A – Clean Break – Surgical Removal, Resection: companies totally halting Russian engagements or completely exiting Russia. This work provided the basis for an in-depth analysis of how financial markets (investors) reacted to companies that used extreme responses (completely breaking business ties with Russia as opposed to maintaining the existing business model and business ties with Russia). Depending on the adopted firm strategy, according to the Yale methodology, it can be observed that the impact of war on value was not uniform, and differences in value migration could be discerned. Purpose of the article: In the article, the authors undertook to evaluate the reaction of financial markets in the period 31 December 2021 – 30 September 2022 on the basis of three stock market indices: (1) the US (Dow Jones Industrial Average); (2) the German (DAX 40 – Deutscher Aktien Index); (3) the Polish (WIG 20 – Warsaw Stock Exchange Index) with a particular focus on the date: February 24, 2022, when Russia’s military aggression in the Ukrainian area began. The authors assessed how the volatility of the shares of selected companies in these indices evolved, and whether it was influenced by the social responsibility of the business conducted, as expressed by the severance of business relations with Russia, their periodic suspension or the lack of any response to the acts of war that began. Furthermore, a significant aim of the study was to assess the phenomenon of value migration in companies based on their business relationship strategies with Russia, classified according to the criteria upon which the Yale list was built. Research methods: Critical analysis of the literature on the subject, statistical analysis, technical analysis of stock index volatility, induction and synthesis. Main findings: In view of the object of research described in this way, in accordance with the idea accompanying the CSR policy, the following research hypothesis was adopted in the study: investment sentiment toward multinational corporations that, as a result of Russia’s aggression in Ukraine, ceased business contacts with Russia altogether, differs from investor sentiment toward those organisations that did not take such action and continued business/economic cooperation with Russia.