ACOPERIREA RISCULUI DE PIAȚĂ AL UNUI PORTOFOLIU DE ACȚIUNI CU AJUTORUL INSTRUMENTELOR FINANCIARE DERIVATE. STUDIU EMPIRIC ÎN CONTEXTUL TENSIUNILOR GEOPOLITICE RECENTE
HEDGING THE MARKET RISK OF A STOCK PORTFOLIO USING DERIVATIVE FINANCIAL INSTRUMENTS. AN EMPIRICAL STUDY IN THE CONTEXT OF RECENT GEOPOLITICAL TENSIONS

Summary/Abstract: In this paper, we evaluated the impact of the outbreak of the military conflict between Russia and Ukraine on the return of a portfolio of European stocks, using the event study methodology based on the market model. The analyzed portfolio includes the 50 largest companies in the euro area, based on the components of the EURO STOXX 50 index. The results indicate a significant decrease in portfolio returns on the event day, as well as during the 7‑day window before and after the event, supporting the existence of a negative impact. In the second part of the paper, we examined two risk‑management methods using derivative financial instruments: a short position in the futures market and a Collar strategy based on options. Both techniques proved effective in limiting losses compared to the uncovered portfolio, and the conclusions of this study may be useful for investors and financial analysts interested in capital protection in unstable geopolitical contexts.

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