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The objective of this research is to identify the economic, demographic, sanitary and even cultural factors which explain the variability in the cross-section of returns in different markets globally during the first weeks after the outbreak of COVID-19.

Building on the event study methodology and using seemingly unrelated equations, the authors created several indicators on the impact of the pandemic in 75 different markets. Then, and using cross-sectional regressions robust to heteroscedasticity and using an algorithm to select independent variables from more than 30 factors, the authors determine which factors were behind the different stock market reactions to the pandemic.

Higher currency depreciation, inflation, interest rate or government deficit led to higher returns, while higher life expectancy, ageing population, GDP per capita or health spending led to the opposite effect. However, the positive effect of competitiveness and the negative effect of income inequality stand out for their statistical and economic significance.

This research provides a global view of investors' reaction to an extreme and unique event. Using a sample of 75 capital markets and testing the relevance of more than 30 variables from all categories, it is, to the authors' knowledge, the largest and most ambitious study of its kind.

The authors present a study of the short-term impact of the Russian–Ukrainian war on global equity returns. The study aims to show that the conflict was priced into markets and whether the intensity of the impact depends on economic factors, such as dependence on gas, or/and political factors, such as belonging to the former Soviet power circle.

Using the event study and a sample of 77 capital markets, accounting for over 99% of global capitalisation, the authors apply a system of seemingly unrelated regressions to the daily returns of the indices, isolating the short-term effect on the markets and finally apply cross-sectional methods to help determine the size and variability of the impact.

The authors show that the impact is concentrated around day zero but is relevant in the days before and after. In addition, the authors show that being in the Soviet orbit and NATO simultaneously, as well as having high gas consumption and importing gas from Russia were key factors for investors.

This study is the first to try to discern whether the impact on stock markets caused by the war in Ukraine is due to purely economic factors, especially energy, or whether there is also a geopolitical component. Specifically, whether the countries closest to Russia are being more threatened by the fact that they are closer to Russia.