Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

Mariana Chambino – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Russian-Ukrainian invasion;
Central-Eastern European
Cointegration; Contagion;
Risk diversification



Understanding how crises spread is important for policymak­ers and regulators to take appropriate measures to prevent or contain crisis spread. This paper aims to analyse the synchronisations and financial con­tagion between the capital markets of Austria (ATX), Hungary (BUX), Croa­tia (CROBEX), Serbia (BELEX 15), Russia (IMOEX), Czech Republic (Prague SE PX), Slovenia (SBI TOP), and Poland (WIG) from September 19th, 2017, to Sep­tember 15th, 2022. The results show that during the Tranquil period, there were 23 integrations (out of 49 possibilities), and the markets with the most integrations are the Russian (IMOEX) and Polish (WIG) capital markets, while the Slovenian market (SBI TOP) does not integrate with any market, suggest­ing some isolation from its regional peers. During the 2020 and 2022 Stress events, we can confirm the presence of 45 integrations, with the stock in­dexes ATX, BUX, IMOEX, and SBI TOP being the most integrated markets (7 out of 7 possibilities). These findings are supported by the results of the un­conditional correlations, which show that the coefficients significantly in­creased between the Tranquil and Stress periods. To validate, the Forbes and Rigobon’s t-test shows that we are witnessing the phenomenon of marked contagion in these regional markets, with the exception of the IMO­EX-CROBEX pair. These findings suggest that regional investors operating in these markets may have some challenges in mitigating portfolio risk, with a high probability of possible losses in their portfolios.

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Dias, R., Chambino, M., Horta, N., Heliodoro, P., & Alexandre, P. (2022). Linear and Nonlinear Effects on Connectivity Structure: A Comparison of European Stock Markets. In V. Bevanda (Ed.), International Scientific-Business Conference – LIMEN 2022: Vol 8. Conference proceedings (pp. 39-52). Association of Economists and Managers of the Balkans.


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