Abstract:

The pandemic in recent years has led to some difficulties in terms of economy and health. While the negative effects caused by the pandemic continued, the Russia-Ukraine war that emerged also caused negative effects all over the world, especially through the commodity markets. However, the war also negatively affected the stock markets globally. In this direction, the purpose of this study is to investigate the impact of the war between Russia and Ukraine on the stock returns of the companies listed in the BIST Food, Beverage Index. In this context, whether the war caused abnormal returns was examined by the event study method. The findings of the study show that the positive AAR values obtained on the day of the event in other words, on the day of war (on 24 February 2022) are insignificant, but some abnormal returns in the pre-event and post-event days are significant and negative (or positive). However, according to the impact of the event in a certain time period, negative and significant CAAR values were determined in the [0,5] and [0,15] event windows. According to these results, it can be stated that the market is not efficient in semi-strong form in terms of adjusting stock prices to new information.

Keywords: