Purpose

This study examines whether the Russia–Ukraine war affects herding behavior in the Moscow Exchange.

Design/methodology/approach

The authors employ the daily stock closing prices of 40 firms, which constitute the MOEX Russia Index from June 16, 2021, to November 30, 2022. The period before the invasion ranges from June 16, 2021, to February 23, 2022, while the post-invasion period runs from February 24, 2022, to November 30, 2022.

Findings

The findings suggest that the Russia–Ukraine war led to the formation of herding behavior among investors in Moscow Exchange. However, this herding behavior seems to be prevalent only during market downturns.

Research limitations/implications

The results are important for policymakers and fund managers since they help them understand behavior patterns of investors during periods of war. Given the devastating effect of herd behavior on market stability, policymakers should implement a strategy to avoid this behavior. The formation of herding behavior during the Russia–Ukraine war indicates that uncertainty and fear caused by Western sanctions lead investors to imitate others which, in turn, could lead to equity mispricing. Thus, firm managers should take into account this evidence in equity issuance decisions in order to time the market. The findings raise questions about the validity of the efficient market hypothesis during the periods of war.

Originality/value

This study represents the first attempt to explore whether the Russia–Ukraine conflict contributes to the appearance of herding behavior among investors on Moscow Exchange.

中文翻译：

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俄罗斯-乌克兰战争是否会导致莫斯科交易所的羊群行为？

目的

本研究探讨了俄罗斯-乌克兰战争是否影响莫斯科交易所的羊群行为。

设计/方法论/途径

作者采用了 40 家公司的每日股票收盘价，这些公司构成了 2021 年 6 月 16 日至 2022 年 11 月 30 日期间的 MOEX 俄罗斯指数。入侵之前的时期为 2021 年 6 月 16 日至 2022 年 2 月 23 日，而入侵之前的时期为 2021 年 6 月 16 日至 2022 年 2 月 23 日。入侵后时期从2022年2月24日至2022年11月30日。

发现

研究结果表明，俄罗斯-乌克兰战争导致了莫斯科交易所投资者羊群行为的形成。然而，这种羊群行为似乎只在市场低迷时期普遍存在。

研究局限性/影响

研究结果对于政策制定者和基金经理很重要，因为它们可以帮助他们了解战争期间投资者的行为模式。鉴于羊群行为对市场稳定的破坏性影响，政策制定者应实施策略来避免这种行为。俄罗斯-乌克兰战争期间羊群行为的形成表明，西方制裁带来的不确定性和恐惧导致投资者模仿他人，进而可能导致股票错误定价。因此，公司管理者应该在股票发行决策中考虑这一证据，以便把握市场时机。这些发现对战争时期有效市场假说的有效性提出了质疑。

原创性/价值

这项研究首次尝试探讨俄罗斯-乌克兰冲突是否导致莫斯科交易所投资者出现羊群行为。