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

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

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

2020 and 2022 events;
Portfolio diversification;
Hedging strategies



This paper aims to analyse whether the events of 2020 and 2022 (Covid-19 pandemic crisis, the oil price war between Russia and Sau­di Arabia, and the Russian invasion of Ukraine in 2022) affected efficien­cy, and accentuated shocks across markets in the Netherlands (AEX), Bel­gium (BEL 20), France (CAC 40), Portugal (PSI 20), Norway (OBX), and in the West Texas Intermediate (WTI) oil index, during the period from Sep­tember 18th, 2017, to 15th, September 2022. The findings reveal that mar­kets exhibit more substantial signals of (in)efficiency throughout the glob­al economy’s uncertainty sub-period; nonetheless, we find that the shocks across markets did not increase from the Tranquil sub-period to the Stress sub-period. Furthermore, we also find that WTI lacks the hedging and ha­ven features exhibited by the European capital markets studied. These findings have significant consequences, especially for overseas investors and oil corporations, which try to spread risk, particularly during uncer­tain times. Finally, we demonstrate that there is no evidence that market (in)efficiency increases the co-movements.

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8th International Scientific-Business Conference – LIMEN 2022 – Leadership, Innovation, Management and Economics: Integrated Politics of Research – SELECTED PAPERS, Hybrid (EXE Budapest Center, Budapest, Hungary), December 1, 2022,

LIMEN Selected papers published by the Association of Economists and Managers of the Balkans, Belgrade, Serbia

LIMEN Conference 2022 Selected papers: ISBN 978-86-80194-67-7, ISSN 2683-6149, DOI:

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Chambino, M., Dias, R., & Horta, N. (2022). Time-Varying Co-movements between Wti and European Capital Markets: Implications for Portfolio Diversification and Hedging Strategies. In V. Bevanda (Ed.), International Scientific-Business Conference – LIMEN 2022: Vol 8. Selected papers (pp. 31-49). Association of Economists and Managers of the Balkans.


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