When Russia Turned Off the Tap to Europe: An Event Study of the European Stock Market Reaction During Nord Stream Pipeline Announcements

Abstract: We use three events related to the Russian gas supply to Europe from Nord Stream pipelines as potential exogenous shocks to test political uncertainty and its effect on asset pricing. Investigating stock returns of firms in the STOXX Europe 600 index, we do not find consistent evidence of firms more exposed to Nord Stream or Russia experiencing more negative stock returns following the events. We cannot be certain what explanation drives our results; thus, we cannot add insight to other studies in terms of priced political risk. For future event studies, we highlight the notion of considering earlier related events as well as difficulties to capture the exogenous shocks during periods of economic and political turbulence.