ASSESSING THE IMPACT OF THE RUSSIA - UKRAINE WAR ON INDUSTRY-SPECIFIC STOCK MARKET PERFORMANCE IN INDIA

Abstract

The Russia-Ukraine war brought a wave of economic uncertainty, prompting questions around how firms respond and how markets react to such geopolitical disruptions. While past research has mostly focused on country-level effects, there’s less work on how individual firms’ communication during crises affects investor behaviour. This study analyses how 81 NSE-listed Indian firms across five major sectors responded to the Russia-Ukraine war through their earnings calls, and how the stock market interpreted these disclosures. Using earnings call transcripts from February 24 to June 15, 2022, firms that explicitly referenced the war were classified as the treatment group, while those that did not formed the control group. We employ an event study methodology to compute cumulative abnormal returns (CARs) and conduct textual analysis to derive sentiment scores and an uncertainty indicator. We find that treatment firms in the Oil and Gas and Energy sectors experienced significantly higher CARs vis-à-vis their sectoral control groups, whereas Auto, FMCG, and Metal firms saw significantly lower CARs vis-à-vis their respective control groups. While sentiment analysis suggested that sentiment scores had no statistical effect on CAR differentials, uncertainty-related language had a positive and significant association overall, though with negative effects in consumer-facing sectors. These findings offer insights into investor interpretation of firm narratives during geopolitical crises.