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Authors
Abstract(s)
A presente dissertação analisa o impacto a curto prazo do início do conflito Rússia-Ucrânia nos
retornos anormais das empresas da indústria dos semicondutores. Recorremos à metodologia
de estudos de eventos para examinar uma amostra de 100 empresas, avaliando as variações nos
preços dessas ações no período em torno do dia 24 de fevereiro de 2022 (início do conflito
militar entre a Rússia e a Ucrânia). Os resultados indicam que, para a amostra completa, não se
verificaram retornos anormais estatisticamente significativos. Contudo, ao dividir a amostra
entre empresas europeias e não-europeias, observou-se que as empresas europeias registaram
retornos anormais positivos e estatisticamente significativos, enquanto as empresas sediadas
fora da Europa apresentaram resultados sem significância estatística. O teste para as diferenças
de CARs entre essas duas subamostras confirma que as empresas europeias reagiram de forma
distinta face às não-europeias, sugerindo que a localização geográfica desempenha um papel
determinante na resposta ao conflito. A análise cross-section sugere ainda que certas
características empresariais, como o ROA, Tobin_Q, percentagem de investidores institucionais
e localização geográfica, influenciam a reação das empresas a choques geopolíticos. Esta
dissertação contribui para a literatura ao colmatar a ausência de estudos sobre o impacto do
conflito entre a Rússia e a Ucrânia na indústria dos semicondutores, uma indústria de elevada
importância estratégica e económica. Trata-se do primeiro estudo a adotar uma abordagem
quantitativa e a recorrer à metodologia de estudos de eventos para analisar este conflito neste
contexto específico. Os resultados obtidos oferecem implicações significativas para
investidores, gestores e decisores políticos, fornecendo uma visão aprofundada sobre a reação
dos mercados a crises geopolíticas e destacando o papel das especificidades regionais e
empresariais na formação dos retornos anormais
This dissertation examines the short-term impact of the onset of the Russia–Ukraine conflict on the abnormal returns of companies in the semiconductor industry. We employ the event study methodology to analyze a sample of 100 companies, assessing stock price variations around February 24, 2022 (the start of the military conflict between Russia and Ukraine). The results indicate that, for the full sample, no statistically significant abnormal returns were observed. However, when dividing the sample between European and non-European companies, European firms showed positive and statistically significant abnormal returns, while companies based outside Europe exhibited statistically insignificant results. A test for differences in CARs between these two subsamples confirms that European firms reacted differently compared to non-European ones, suggesting that geographic location plays a decisive role in the market response to the conflict. The cross-sectional analysis further suggests that certain firm characteristics such as ROA, Tobin’s Q, percentage of institutional investors, and geographic location influence corporate reactions to geopolitical shocks. This dissertation contributes to the literature by addressing the lack of studies on the impact of the Russia–Ukraine conflict on the semiconductor industry, a sector of high strategic and economic importance. It is the first study to adopt a quantitative approach using event study methodology to analyze this specific conflict in the semiconductor context. The findings offer meaningful implications for investors, managers, and policymakers by providing a deeper understanding of market reactions to geopolitical crises and highlighting the role of regional and firm-specific factors in shaping abnormal returns.
This dissertation examines the short-term impact of the onset of the Russia–Ukraine conflict on the abnormal returns of companies in the semiconductor industry. We employ the event study methodology to analyze a sample of 100 companies, assessing stock price variations around February 24, 2022 (the start of the military conflict between Russia and Ukraine). The results indicate that, for the full sample, no statistically significant abnormal returns were observed. However, when dividing the sample between European and non-European companies, European firms showed positive and statistically significant abnormal returns, while companies based outside Europe exhibited statistically insignificant results. A test for differences in CARs between these two subsamples confirms that European firms reacted differently compared to non-European ones, suggesting that geographic location plays a decisive role in the market response to the conflict. The cross-sectional analysis further suggests that certain firm characteristics such as ROA, Tobin’s Q, percentage of institutional investors, and geographic location influence corporate reactions to geopolitical shocks. This dissertation contributes to the literature by addressing the lack of studies on the impact of the Russia–Ukraine conflict on the semiconductor industry, a sector of high strategic and economic importance. It is the first study to adopt a quantitative approach using event study methodology to analyze this specific conflict in the semiconductor context. The findings offer meaningful implications for investors, managers, and policymakers by providing a deeper understanding of market reactions to geopolitical crises and highlighting the role of regional and firm-specific factors in shaping abnormal returns.
Description
Keywords
Conflito Rússia-Ucrânia Indústria dos semicondutores Estudos de eventos Retornos anormais Análise cross-section Crises geopolíticas Russia-Ukraine conflict Semiconductor industry Event study Abnormal returns Cross-sectional analysis Geopolitical crises Ucrânia Rússia Gestão . Faculdade de Ciências Sociais