Asymmetric Market Responses to Iran-Related Geopolitical Shocks: Evidence from Oil Prices and Energy Equity Abnormal Returns Across the June 2025 and February 2026 Episodes
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Abstract
This study examines whether the magnitude and persistence of oil price and energy equity abnormal returns differ systematically between two structurally distinct Iran-related geopolitical shocks: the contained 12-Day War of June 2025 and the sustained Operation Epic Fury that commenced in February 2026. Applying a comparative event study methodology to five major international oil companies (ExxonMobil, Chevron, BP, Shell, and TotalEnergies), Brent and WTI crude benchmarks, and the S&P 500 and IXC sector indices over 484 trading days (January 2024 to March 2026), we find that the two shocks generate statistically identical immediate abnormal returns on Day 0 and within the three-day window. Divergence emerges sharply from day +5 onward. The cross-sectional average abnormal return (CAAR) at the [−1,+10] window reaches 16.49% for Event 2 versus a statistically insignificant −0.22% for Event 1, a difference of 16.70 percentage points (t = 11.12, p < 0.001). EGARCH(1,1) estimation further reveals that Brent conditional volatility spiked 3.49 times above pre-event levels at Event 1 but only 3.13 times at Event 2, while WTI volatility amplification was 1.67 times at Event 1 versus 4.13 times at Event 2, reflecting a lagged Hormuz closure premium in the domestic benchmark. These findings support the concept of a Proximate Trigger Threshold: a boundary beyond which supply-disruption realization, rather than geopolitical threat alone, produces a structural regime shift in energy asset pricing. Results carry implications for energy investment strategy, portfolio hedging, and strategic reserve deployment policy.
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