Russia, from David Lillienfeld
There have been at least 5 instances in the post WWII era in which Russia has invaded another country: Hungary, Poland, Czechoslovakia, Afghanistan, and Georgia. Are there any analyses on what happened to the S&P the day following the start of the invasion, the week following, the month following, and the year following?
Kora Reddy writes:
War Start First Market Open Date t t+1 t+5 t+10 t+20
Hungarian Revolution 23-Oct-56 23-Oct-56 -0.24 -0.41 0.54 2.15 -3.14
Invasion of Czechoslovakia 01-Sep-61 01-Sep-61 0.18 -0.34 -1.33 -1.44 -2.08
War of Attrition 20-Aug-68 20-Aug-68 -0.04 -0.26 -0.22 2.26 3.67
Eritrean War of Independence 01-Jul-67 03-Jul-67 0.3 0.49 1.73 2.85 4.91
Ethio-Somali War 13-Jul-77 13-Jul-77 0.14 0.59 2.01 -0.8 -1.44
Soviet War in Afghanistan 24-Dec-79 24-Dec-79 0.07 0.11 -1.76 1.29 5.37
East Prigorodny Conflict 30-Oct-92 30-Oct-92 -0.52 0.97 -0.26 0.9 3.03
Civil War in Tajikistan 05-May-92 05-May-92 -0.02 -0.01 -0.13 -0.11 -0.54
Georgian Civil War 22-Dec-91 23-Dec-91 2.53 0.63 5.11 5.36 5.37
First Chechen War 11-Dec-94 12-Dec-94 0.56 0.15 1.88 2.89 2.71
War of Dagestan 02-Aug-99 02-Aug-99 -0.05 -0.44 -2.28 0.2 -0.3
Second Chechen War 26-Aug-99 26-Aug-99 -1.43 -1.01 -3.15 -0.76 -6.22
Russo-Georgian War 07-Aug-08 07-Aug-08 -1.79 2.39 2.12 0.92 -1.88
North Caucasus Insurgency 16-Apr-09 16-Apr-09 1.55 0.5 -1.55 0.87 3.21
avg 0.09 0.24 0.19 1.18 0.91
median 0.03 0.13 -0.18 0.91 1.21
std 1.03 0.79 2.13 1.75 3.48
t-test 0.32 1.14 0.34 2.54 0.97
max 2.53 2.39 5.11 5.36 5.37
min -1.79 -1.01 -3.15 -1.44 -6.22
for MICEX, the historical data goes back only till 1997.
War Date t t+1 t+5 t+10 t+20
War of Dagestan 02-Aug-99 -0.43 -1.81 -13.57 -6.56 -9.12
Second Chechen War 26-Aug-99 -3.94 -3.55 -3.65 -4.65 -21.49
Russo-Georgian War 07-Aug-08 1.61 -5.25 0.69 -2.81 -10.66
North Caucasus Insurgency 16-Apr-09 1.23 1.72 1.2 0.35 10.44
avg -0.38 -2.22 -3.83 -3.42 -7.71
median 0.40 -2.68 -1.48 -3.73 -9.89
max 1.61 1.72 1.20 0.35 10.44
min -3.94 -5.25 -13.57 -6.56 -21.49