Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; CEFAGE-UE, IIFA, University of Évora, Portugal

Catarina Revez  – 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



Keywords:                      Contagion effects;
Russian-Ukrainian invasion;
Portfolio diversification


Abstract: On February 24th, 2022, Russia launched a full-scale military in­vasion against Ukraine, marking a sharp escalation to a conflict that began in 2014. Several analysts have called the invasion the largest military inva­sion in Europe since World War II. Considering these events this paper aims to test the efficient market hypothesis, in its weak form, in the capital mar­kets of Hungary (BUX), Croatia (CROBEX), Russia (IMOEX), the Czech Repub­lic (PX PRAGUE), Slovenia (SBITOP), and Poland (WIG) over the period from April 25th, 2017, to April 22nd, 2022. The results show that the random walk hypothesis is not supported by the analyzed financial markets in this peri­od with the occurrence of the 2020 global pandemic and the Russian inva­sion of Ukraine. The values of the variance ratios are less than unity, imply­ing that the returns are autocorrelated over time and mean-reverting, and no differences between the financial markets have been identified. This has implications for investors, since some returns may be expected, creating ar­bitrage opportunities and abnormal returns, contrary to the assumptions of random walk and informational efficiency. In conclusion, we believe that in­vestors should eventually exercise some caution, at least while this uncer­tainty persists, and invest in less risky markets to mitigate risk and improve the efficiency of their portfolios.

8th International Scientific ERAZ Conference – ERAZ 2022 – Conference Proceedings: KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT, Online-Virtual (Prague, Czech Republic), May 26, 2022

ERAZ Conference Proceedings published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ERAZ conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; AMBIS University, Prague – Czech Republic; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia

ERAZ Conference 2022 Conference Proceedings: ISBN 978-86-80194-60-8, ISSN 2683-5568, DOI:

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

Sugested citation

Dias, R., Revez, C., Horta, N., Heliodoro, P., & Alexandre, P. (2022). Impact of Russia’s Invasion of Ukraine on Central and Eastern European Capital Markets. In V. Bevanda (Ed.), ERAZ Conference – Knowlegde Based Sustainable Development: Vol 8. Conference Proceedings (pp. 71-86). Association of Economists and Managers of the Balkans.


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