(ÚNKP-23-4-II) Támogató: Innovációs és Technológiai Minisztérium
This study examines the impact of the European Union’s sanctions against Russia and
the news about them on gas prices. Using the event study methodology, we primarily
seek to answer whether the different types of news related to sanctions (any mention
of the sanctions package, announcements of its content or adoption) impacted gas prices
significantly and in differing ways. The 24 selected events were analysed using three
different model variants (market model, GARCH, EGARCH) and four different (3-, 5-,
10-, and 15-day) window lengths. Our results confirmed our hypothesis that the mere
mention of sanctions has an upward effect on gas prices, similar to the other two
types of news.
