The Impact of International Sanctions against Russia on the Stock Market - Investor Sentiment and Sanction Types

We analyze the impact of different types of international sanctions against Russia on the S&P500 firm´s daily abnormal returns and a set of direct and indirect proxies for investor sentiment. We use the Russian Sanctions Timeline by the Peterson International Institute for Economics to track sanctions in the fields of finance, travel, export, import, trade and individual for 49 countries in the period from Februar 21, 2022 (Russian troops ordered to Ukraine) to September 30, 2022 (Russia annexes Donetsk, Luhansk, Kherson, and Zaporizhzhia). Countries´ rejections to impose sanctions are also considered. We also analyze the moderation effect of firm´s country specific revenues. We find that government responses mitigate the negative stock market impact and that investors´ sentiment is sensitive to a firm´s country-specific revenue exposure to COVID-19.