Eduvest – Journal of Universal Studies

Volume 3 Number 12, December, 2023

p- ISSN 2775-3735- e-ISSN 2775-3727

THE IMPACT OF THE RUSSIA-UKRAINE WAR ON THE

DYNAMICS OF THE ASEAN-5 STOCK MARKET

Damar Agung, Wita Juwita Ermawati, Gendut Suprayitno

Institut Pertanian Bogor, Indonesia
Email: agungdamar@apps.ipb.ac.id, witaman@apps.ipb.ac.id,
gsuprayitno@yahoo.com
ABSTRACT
The capital market can be defined as activities related to public offerings, securities trading,
public companies, institutions, and certain professions. One of the factors considered in
stock investment is the Efficient Market Hypothesis. The Efficient Market Hypothesis is a
financial theory that discusses how asset prices in the market already reflect all available
information. This study employs an approach to detect market reaction and market
efficiency based on the event of the world oil price decline due to the Russian invasion of
Ukraine on March 10, 2022, through excess or abnormal return, price impact, and
fluctuation patterns observed using a multifractal model. The research results on the
abnormal return of the ASEAN-5 stock index showed a significant negative reaction at t-5
and t-3 during the event of the world oil price decline due to the Ukraine and Russia war in
2022 and a significant positive reaction at t-0 during the event. The average abnormal
return before and after the announcement of the world oil price decline due to the Ukraine
and Russia war in 2022 showed a significant negative reaction, but there was no significant
difference in price impact between before and after the event. The efficiency level of the
stock index in ASEAN-5 did not show a significant difference after the announcement of the
world oil price decline due to the Ukraine and Russia war in 2022.
KEYWORDS ASEAN-5, event study, price impact, market reaction
This work is licensed under a Creative Commons Attribution-
ShareAlike 4.0 International

INTRODUCTION
On February 24, 2022, Russia initiated a special military operation, marking
the beginning of the military conflict between Russia and Ukraine. Although Rus-
sian authorities never officially declared war on Ukraine, Russia's invasion into

Agung, D. et al. (2023). The Impact of The Russia-Ukraine War on The

Dynamics of The Asean-5 Stock Market. Journal Eduvest. 3 (12): 2184-
How to cite: 2195
E-ISSN: 2775-3727
Published by: https://greenpublisher.id/
 Eduvest – Journal of Universal Studies
Volume 3, Number 12, December, 2023

Ukrainian territory resulted in numerous casualties and a rapidly growing number

of refugees, marking the fastest escalation since World War II in Europe and caus-
ing various negative financial impacts on global markets and economies (Yousaf et
al., 2022). A study conducted by Bongou in 2022, analyzing daily stock market
returns for 94 countries from January 22, 2022, to March 24, 2022, revealed nega-
tive outcomes for the world's stock markets due to the armed conflict between Rus-
sia and Ukraine. The conflict, ongoing for a while, intensified with Russia's inva-
sion of Ukraine on February 24, 2022, with the study explaining that stock market
indices weakened for countries bordering Russia and Ukraine (Boungou & Yatié,
2022).
The capital market can be defined as activities related to public offerings,
securities trading, public companies, institutions, and specific professions. One of
the factors considered in stock investment is the Efficient Market Hypothesis
(EMH). EMH is a financial theory that explores how asset prices in the market
already reflect all available information (Fama, 1970). This understanding assumes
that when new information emerges, prices in an efficient market can reflect that
additional information. The impact of new information on asset prices can be ana-
lyzed using the event study approach, a methodology aimed at studying the market's
reaction to an event whose information is publicly disclosed, such as corporate re-
leases or government regulation announcements (Peterson, 1989).
An efficient capital market is one where prices fully reflect all known infor-
mation. The EMH, in its weak form, asserts that current financial asset prices in-
corporate all historical financial information. The theory supports the idea that in-
vestors cannot gain abnormal profits from investing in these financial assets. The
weak form of the EMH suggests that prices follow a random walk. In its semi-
strong form, the EMH assumes that financial asset prices reflect all information
available in the market, including historical prices and other historical information
(Fama, 1970). In its strong form, the EMH assumes that prices reflect all available
market information, encompassing historical financial information (weak form), all
new public information (semi-strong form), and all private information about finan-
cial assets.
TEORI KEUANGAN MODERN

PASAR EFISIEN

EFFICIENT MARKET HYPOTHESIS

FUNDAMENTAL ANALYSIS

SEMI-STRONG STRONG
EFFICIENCY EFFICIENCY

WEAK
EFFICIENCY

TECHNICAL ANALYSIS

Figure 1. Theoretical Framework of Reference

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ASEAN is the fifth-largest economy in the world, with a combined income

of 3.2 trillion USD, and is projected to become the fourth-largest by 2030. The
ASEAN region also has 61% of its population below the age of 35 (Ahmad et al.,
2022). In 2019, intra-ASEAN trade and foreign direct investment activities ac-
counted for 23% and 16%, respectively (ASEAN, 2019).
This study specifically examines the Southeast Asian region, focusing on the
ASEAN-5 member countries. According to the ASEAN Economic Community
(2022) publication, Southeast Asia has been integrated since the formation of
ASEAN on August 8, 1967, with the initial five members: Indonesia, Singapore,
Malaysia, the Philippines, and Thailand (ASEAN-5). Over time, ASEAN member-
ship has expanded to include 10 countries in the Southeast Asian region (AEC,
2022). In 2015, the ASEAN Economic Community (AEC) was established, serving
as a milestone for ASEAN's economic integration. The AEC falls under the ASEAN
Integration Monitoring Directorate (AIMD). Previously known as the Macroeco-
nomic and Finance Surveillance Office (MFSO) and later the ASEAN Integration
Monitoring Office (AIMO), AIMD was designated as part of the new ASEAN Sec-
retariat structure, officially approved on January 1, 2016.
Data for ASEAN-5 is based on the fact that these countries are developing
and open to regional and global trade, influenced by global economic powers such
as the United States, Japan, Australia, and Hong Kong, which are major trading
partners with tendencies toward exchange rate volatility that may impact ASEAN-
5 trade, especially in their export commodities. Since 1997, the open trade policies
of ASEAN-5, excluding Singapore, have been significantly influenced by financial
market crises necessitated by highly fluctuating exchange rates and other macroe-
conomic indicators. The focus on export trade is driven by the fact that ASEAN-5
countries are export-oriented, even though they heavily depend on semi-finished
goods, as their trade is predominantly export-based. ASEAN-5 exports have grown
significantly over several decades, and the economies of ASEAN-5 countries are
commodity-based, with changes in export prices correlating with exchange rate vol-
atility (Handoyo et al., 2023).
The study on the dynamics of the stock market and the differences between
stock markets during the Russia-Ukraine conflict has not been extensively explored
academically. Therefore, further research is needed to investigate the varied time
efficiency behavior among different markets before and after the event. The study
focuses on the impact of Russia's invasion of Ukraine on the Market Reaction and
Global Market Efficiency, especially in the ASEAN-5 countries, considering that
energy is a significant strategic sector. This research employs an approach to detect
market reaction and market efficiency based on the event of the world oil price
decline due to the Russian invasion of Ukraine on March 10, 2022, with the follow-
ing hypotheses:
H0: Abnormal returns on the ASEAN-5 stock index do not exhibit a significant
reaction to the event of the world oil price decline due to the Ukraine and Russia
war in 2022.

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H0: The average abnormal return before and after the announcement of the world
oil price decline due to the Ukraine and Russia war in 2022 does not show a signif-
icant reaction.
H0: There is no significant difference in the efficiency level of the stock index in
ASEAN-5 after the announcement of the world oil price decline due to the Ukraine
and Russia war in 2022.
H0: There is no significant difference in price impact between before and after the
announcement of the world oil price decline due to the Ukraine and Russia war in
2022.
The aim of this research is to conduct a comprehensive study on the impact
of an event on market reactions, specifically examining excess or abnormal returns
and price impact experienced by shareholders when an event occurs. Additionally,
the study aims to investigate the impact of an event on market efficiency through
fluctuation patterns using a multifractal model.

RESEARCH METHOD
This research employs the event study method to examine the relationship
between the ASEAN-5 stock market and its reactions to the Russia-Ukraine war
event in 2022. Daily data is utilized, and the MF-DFA method is adopted to measure
the efficiency of the stock market, using stock price return values over the period.

Definisi umum:
Efficient Market Teori yang membahas mengenai bagaimana
TEMA Hipotesis harga aset di pasar sudah mencerminkan
seluruh informasi yang ada

DATA UTAMA
Index Saham Purposive sampling

Kenaikan Harga Minyak Dunia

PERISTIWA /
PERMASALAHAN 10 Maret 2022

METODE Event Study Ilikuiditas MF-DFA

Tujuan: Tujuan: Tujuan:

Melihat dampak suatu peristiwa terhadap Mengukur price impact yang terjadi akibat Mengetahui pola fluktuasi dengan
reaksi pasar, dimana apakah ada excess atau adanya suatu transaksi pengamatan model multifractal
abnormal return yang didapatkan oleh pemilik Memberikan peringkat efisiensi pasar pada
saham ketika suatu peristiwa terjadi. index saham

Variabel yang dibutuhkan: Variabel yang dibutuhkan: Variabel yang dibutuhkan:

• Return saham • Jumlah saham diperdagangkan • Return saham
• Return saham gabungan / saham pasar • Absolute return • Variansi
• Abnormal Return • Harga saham • Tingkat inefesiensi
• Akumulasi abnormal return (CAR)
• Average Cumulative Abnormal Return
• t-hitung Keluaran: Keluaran:
Proxy ilikuiditas antar index saham Pola fluktuasi dan nilai inefisiensi antar index
saham
Keluaran:
1. Nilai abnormal return masing-masing
index saham
2. Nilai accumulative dan cumulative
abnormal return semua index saham

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RESULT AND DISCUSSION

Market Reaction Event Study
Event studies, whether multi-event, multi-country, or multi-firm, require
cross-sectional aggregation of abnormal returns to generalize findings by calculat-
ing the average daily abnormal return and the average abnormal return (AAR) (Luo
et al., 2022; MacKinlay, 1997). The empirical formulas are as follows:

………………………………………………………..………....(Equation 1)

…………………………………………………………..……....(Equation 2)

Observing event study through abnormal returns using EXCEL and SPSS
programs (Luo et al., 2022), the Dow Jones stock index serves as the Market Stock
Variable (Kamaludin et al., 2021). The event window covers 11 days from t-5 to
t+5 days, and the estimation window is 120 days from t-125 to t-6 days (Yousaf et
al., 2022).
Table 1. Data abnormal return ASEAN-5
Waktu
Indeks
Saham
-5 -4 -3 -2 -1 0 1 2 3 4 5

JKSE -0.0111 0.0086 -0.0068 -0.0085 0.0037 0.0079 -0.0005 0.0031 -0.0083 0.0076 -0.0067

PSEI -0.0183 0.0051 -0.0047 -0.0431 -0.0033 0.0184 -0.0021 -0.0431 0.0251 -0.0033 0.0100

STI -0.0130 -0.0048 -0.0095 -0.0119 0.0119 0.0142 0.0033 -0.0058 -0.0014 0.0147 0.0078

SET -0.0079 -0.0098 -0.0224 -0.0044 0.0094 0.0019 0.0073 0.0003 -0.0148 0.0097 0.0044

KLCI -0.0019 0.0041 -0.0172 -0.0162 0.0068 0.0115 -0.0075 -0.0011 -0.0093 0.0063 0.0103

AAR -0.0104 0.0006 -0.0121 -0.0168 0.0057 0.0108 0.0001 -0.0093 -0.0018 0.0070 0.0051

CAAR -0.0104 -0.0098 -0.0219 -0.0387 -0.0330 -0.0222 -0.0222 -0.0315 -0.0332 -0.0262 -0.0211

AARsblm AARssdh
AAR
JKSE -0.0028 -0.0010 0,0200

PSEI -0.0129 -0.0027 0,0100

STI -0.0055 0.0037 0,0000

1 2 3 4 5 6 7 8 9 10 11
SET -0.0070 0.0014 -0,0100
KLCI -0.0049 -0.0003 -0,0200

Researchers use daily price data for a predetermined time period against
ASEAN stock indices (Indonesia, Malaysia, Philippines, Singapore, and Thailand).
Events World oil prices fell due to Russia's invasion of Ukraine on March 10, 2022.
Data collection through datastream i.e. stooq. Continuous price return by taking the

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logarithm of two consecutive daily prices with the results of research on the
Average Abnormal Return (AAR) curve data fluctuates widely over the period and
reaches its peak value on day -1 before the event and +1 after the event.
These results show that market data in the study are vulnerable to events
related to financial instability such as changes in world oil prices. The profit or
return on the market price on the AAR value of the STI and SET indices fluctuated
up to positive after the event period, while for the JKSE, PSEI and KLCI indices
showed that the data fluctuated up but was still negative after the event period.
Abnormal fluctuations in average returns in a positive direction are possible if the
ASEAN-5 index succeeds in making efforts to diversify the economy and carry out
sufficient economic reforms needed when the situation is important.

Table 2. Test the abnormal hypothesis of ASEAN-5 group returns to events

Period t Sig. (2-tailed)
t-5 -3.824 0.019
t-4 -0.185 0.862
t-3 -3.646 0.022
t-2 -2.450 0.070
t-1 2.169 0.096
t-0 3.839 0.018
t+1 0.290 0.978
t+2 0.000 0.345
t+3 -0.250 0.815
t+4 2.379 0.076
t+5 1.634 0.178
Before - After -4.367 0.012

Abnormal observations of returns on the ASEAN-5 index using market

models and t-statistics for the h+5 h-5 event window show that the event of world
oil prices falling due to the Russian invasion of Ukraine on March 10, 2022 had a
significant positive impact on the ASEAN market in the t-0 period. The abnormal
average return on the date before the significant event was negative for the entire
sample in periods t-5 and t-3. The abnormally average overall return between
before and after the event also yielded significant negatives. Emerging markets
seem to have had a significant impact on the event that world oil prices fell due to
Russia's invasion of Ukraine on March 10, 2022.
Previous research related to the stock market showed a significant negative
impact of the events of the conflict between Russia and Ukraine on February 24,
2020 on the day of the incident and the day after the event, using stock market data
of Hungary, Russia, Poland, and Slovakia showed that they reacted in anticipation
of military action in Ukraine with negative results in the days before the event
occurred (Yousaf et al. 2022). Using daily stock return data for a sample of 94
countries during the period January 22, 2022 to March 24, 2022, the results showed

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a significant negative impact of the Ukraine-Russia war on global stock indices

(Bongou and Yati. 2022).

Price Impact Market Reaction

In this study using proxies, Amihud developed an illiquidity measure (ILLIQ)
based on a return-to-volume ratio and showed the premium return associated with
ILLIQ includes compensation for the impact of prices on investors (Amihud, 2002).
ILLIQ is a measure to measure the price impact that occurs due to a transaction.
The greater the price impact, the less liquid the stock is. The equation of Amihud
Illiqiudity is as follows, with the following empirical formula:

………………………………………………………………….(Equation 4)

where D is the number of annual transaction days, VOL is the dollar

transaction volume on day t, and |r t| is the absolute daily stock return (Coën & de
La Bruslerie, 2019). Daily abnormal return (AR) for each of the six indices using
the period [−60, +60] (Gofran et al., 2022).

Table 3. Descriptive statistics of absolute return

Stock Indices Mean Standard
Deviation
JKSE 0.00556 0.00455
PSEI 0.00927 0.00751
STI 0.00441 0.00390
SET 0.00432 0.00417
KLCI 0.00507 0.00436
DJI 0.00849 0.00626

Table 3 shows that the most volatile Index during the period was the PSEI
with an average standard deviation of 0.75%, followed by DJI of 0.62% and an
average of 0.0092. The STI market has the smallest risk of 0.39% assuming the
Thai capital market is considered to show the best financial stability.

Table 4. Illiquidity before and after the event

ILLIQ JKSE PSEI STI SET DJI KLCI
Sebelum 0.00038% 0.00079% 0.00055% 0.00002% 0.00005% 0.00189%
Sesudah 0.00042% 0.00111% 0.00050% 0.00005% 0.00007% 0.00172%

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ILLIQ
0.00200%
0.00180%
0.00160%
0.00140%
0.00120%
0.00100%
0.00080%
0.00060%
0.00040%
0.00020%
0.00000%
JKSE PSEI STI SET DJI KLCI

Sebelum Sesudah

Figure 2. Illiquidity Value Graph of ASEAN-5 Before and After the Event

Comparing before and after the event in Table 4, the ASEAN-5 index and the
Dow Jones index, except for STI and KLCI, are in a more liquid condition. This
phenomenon can be associated with an improving macroeconomic condition.
Macro-economic conditions can be the fundamental basis for investors to make de-
cisions. Fundamental analysis of a specific stock involves considering the macroe-
conomic condition first, then the sector condition of the index, and finally analyzing
its stock performance and prospects in the market. Changes in macroeconomic con-
ditions in a country, whether positive or negative, will be calculated by investors
regarding its impact on the future index performance and then decide to buy or sell
stocks.
Table 5. Hypothesis Testing of ILLIQ Proxy of ASEAN-5

Period t Sig. (2-tailed)

Before-after -0.450 0.672

Testing the impact of the event that world oil prices fell due to the Russian
invasion of Ukraine on March 10, 2022 on illiquidity in ASEAN 5. Table 5 shows
that the variables have a negative coefficient and have no significant effect (α=
0.05). This data shows that before and after the event did not have a negative
influence and did not have a significant effect on the ASEAN 5 stock index.
Research on companies in Europe and North America using the Amihud measure
showed an insignificant decline after the announcement of the acquisition (Coen
and Brusleri. 2019). Other studies using amihud proxies show that covid pandemic
events do not have a significant impact on prices in the UK, Germany, Brazil and
Spain but in the US and China have a significant price impact due to COVID-19
(Gregoriou and Haar. 2022)

Market efficiency
Multifractionality is characteristic of financial time series. The Multifractal
Detrended Fluctuation Analysis (MF-DFA) technique is becoming a popular tool
for testing market efficiency and ranking markets, institutions, and financial
instruments. The stationary MF-DFA approach or random running data from

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financial time series can be ascertained by evaluating the generalized spectrum of

Hurst exponents (Mensi et al., 2017). The empirical formula is as follows

………………………………….……………………………….(Equation 4)

The h proxy is a spectrum that indicates the size of the fractal signal. The h
min and h max proxies are the maximum and minimum levels of the spectrum,
respectively. The stock market can be considered efficient if it follows random
behavior for all types of fluctuations, namely small fluctuations with size (q=-4)
and large fluctuations with size (q=+4) (Hkiri et al., 2021).

Table 6. Generalized Hurst exponent values of ASEAN-5 group before and after
the event

Koefisien q Nilai hq
JCI KLCI SET STI PSEI DJI
-4 0.4479 0.4778 0.6576 0.5674 0.5315 0.5831
-3 0.4592 0.4882 0.6352 0.5682 0.5317 0.5647
-2 0.4803 0.5090 0.6138 0.5693 0.5339 0.5454
-1 0.5094 0.5372 0.5996 0.5668 0.5388 0.5261
0 0.5393 0.5611 0.5994 0.5652 0.5454 0.5102
1 0.5560 0.5653 0.6127 0.5561 0.5454 0.5008
2 0.5356 0.5373 0.6134 0.5321 0.5189 0.4811
3 0.4796 0.4816 0.5810 0.4907 0.4645 0.4374
4 0.4224 0.4222 0.5376 0.4485 0.4100 0.3911

Koefisien q Nilai hq
JCI KLCI SET STI PSEI DJI
-4 0.6750 0.7343 0.6676 0.7219 0.4953 0.6124
-3 0.6540 0.7152 0.6283 0.7004 0.4966 0.6097
-2 0.6268 0.6950 0.5855 0.6754 0.5035 0.6085
-1 0.5911 0.6744 0.5424 0.6477 0.5158 0.6075
0 0.5441 0.6540 0.5014 0.6185 0.5302 0.6037
1 0.4845 0.6339 0.4641 0.5895 0.5416 0.5941
2 0.4162 0.6144 0.4314 0.5619 0.5474 0.5779
3 0.3500 0.5961 0.4037 0.5365 0.5475 0.5572
4 0.2954 0.5794 0.3810 0.5138 0.5433 0.5353

Table 6 describes the Generalized Hurst exponent through the MF-DFA

approach for the period before and after the event of the world oil price decline due
to the Russian invasion of Ukraine on March 10, 2022. Changes in the generalized
Hurst exponent H(q) with changes from -4 to 4 are well demonstrated for all
ASEAN 5 indices and the Dow Jones. Research conducted by Hkiri in 2021 shows
that this kind of femonema has a real multifraction in the time series.
The q<0 proxy for the Generalized Hurst exponent h(q) shows the scaling
behavior of segments with small fluctuations, the q >0 proxy for h(q) shows the
scaling behavior of segments with large fluctuations. Table 6 shows that the
negative scale (q<0) is mostly greater than h(q) for the positive scale (q>0), showing

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that the dynamics of small fluctuations in the stock market under consideration
exhibit more definite long memory features than large fluctuations.
An h(q) value greater than 0.5 for q<0 indicates that in small fluctuations over
the entire series the stock's return is characterized by good long-term persistence.
An h(q) value greater than 0.5 for q>0 indicates that in large fluctuations over the
entire series the stock returns are characterized by good long-term persistence.
Table 6 shows that prior to the event the SET STI PSEI and DJI indices had good
long-term persistence for the entire return series when it fluctuated small, while
the JCI and KLCI indices had good long-term persistence for the entire return series
when it fluctuated heavily. In the aftermath of the index event, all indices show
good long-term persistence for the entire series of returns at times of little
fluctuation except PSEI. The capital market is a dynamic market where the price of
shares traded in it is always changing. These fluctuations can be caused by various
things such as the presence of new information.

Table 7. ASEAN-5 group MDM values before and after the event

Grafik Perbandingan Nilai MDM

0,20000 0,18980
0,15685 0,14330
0,10000 0,09760 0,11785
0,09600
0,06485 0,05945 0,06075 0,07385
0,05000
0,02400
0,00000
JCI KLCI SET STI PSEI DJI

Sebelum Sesudah

Figure 3. Graph of ASEAN-5 group MDM values before and after the event
The stock market is considered efficient if it follows random behavior for all
types of fluctuations, including small fluctuations (q-4) and large fluctuations
(q+4). The value of MDM will be zero for an efficient market. In the preceding
event, the KLCI Index was the most efficient market, followed by other emerging
markets, and the SET Index was the least efficient market compared to other
markets. This phenomenon assumes the KLCI index economy performed well in
the year of the period. The KLCI stock market has undergone an upgrade from a

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leading market to an emerging market which has increased market efficiency and
is a positive signal for investors.
In the aftermath of the event, the PSEI index was the most efficient market,
followed by other emerging market indices, and the JCI Index was the least efficient
market compared to other markets. The SET PSEI and DJI indices moved up the
rankings from before and after the event, while the JCI KLCI and STI dropped from
before and after the event. According to Hkiri's (2021) research, moderate changes
in generalized Hurst exponents suggest that multiracial behavior reflects that
markets are becoming more efficient. Changes in the Hurst exponent generalized to
the SET PSI and DJI indices show quite moderate changes.

Table 8. ASEAN-5 group MDM hypothesis test on events

Period t Sig. (2-tailed)
Before-after -1.721 0.146

Testing the effect of the impact of the event The world oil price fell due to the
Russian invasion of Ukraine on March 10, 2022 on efficiency in the ASEAN 5
index and dow jones in the Table shows that the variable has a negative coefficient
and has no significant effect (α= 0.05). This shows that before and after the event
did not have a negative influence and did not have a significant effect on the
ASEAN-5 stock index.

CONCLUSION
Conclusion of this research are Abnormal returns on the ASEAN-5 stock in-
dex showed a significant negative reaction at times t-5 and t-3 during the event of
the decline in world oil prices due to the Ukraine-Russia war in 2022. Abnormal
returns on the ASEAN-5 stock index exhibited a significant positive reaction at the
time t-0 during the event of the decline in world oil prices due to the Ukraine-Russia
war in 2022. The average abnormal returns before and after the announcement of
the decline in world oil prices due to the Ukraine-Russia war in 2022 showed a
significant negative reaction. There is no significant difference in the efficiency
level of the stock index in ASEAN-5 after the announcement of the decline in world
oil prices due to the Ukraine-Russia war in 2022. There is no significant difference
in the price impact before and after the announcement of the decline in world oil
prices due to the Ukraine-Russia war in 2022.
Although this research makes a valuable contribution, there are several limi-
tations that need to be considered: The study focuses specifically on the ASEAN-5
group, overlooking many other developing countries that might also be affected by
the events of the Russia-Ukraine war. Therefore, the results of the study should be
applied and interpreted while taking these limitations into account. The study solely
considers market reactions and market efficiency, without incorporating several
other factors that could influence the outcomes. Further research can delve into
these aspects and consider additional factors to provide a more comprehensive pic-
ture. Subsequent research could explore three main aspects: first, an increase in the

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number of samples to validate and modify the results; second, the addition of cate-
gories of factors that may affect market reactions; and third, considering whether
municipal government support has an impact on market reactions and stock effi-
ciency.

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