The Russo-Ukrainian War and Its Influence on Coal Markets: Event Study and Interconnectedness Analysis

In this paper, we analyse the immediate market response of the coal industry to the onset of Russia’s full-scale invasion of Ukraine. We apply the event study methodology to identify the impact of the war on the coal firms’ share prices. Subsequently, we use a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) approach to analyse changes in market interconnectedness. The results reveal significant cumulative average abnormal returns (CAARs) for the Titans sub-sample, indicating that coal-related firms headquartered in the United States, the UK, Canada, and Australia outperformed the stock market on a cumulative basis after the outbreak of the war. Our findings also show that the onset of the Russo-Ukrainian war resulted in an approximately 11% increase in average interconnectedness among the defined groups and led to shifts in their roles as transmitters and receivers. Specifically, while Europe and the Titans transitioned from net transmitters to net receivers, East Asia became a major net transmitter of shock.