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

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

Catarina  Revez – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

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

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

Russian-Ukrainian invasion;
Central-Eastern European
Risk diversification


Abstract: Following the Revolution of Dignity in Ukraine in 2014, Russia an­nexed Crimea, while separatist forces supported by the Russian government seized part of the Donbas region in south-eastern Ukraine. Since the begin­ning of 2021, a build-up of Russian military presence has occurred along the Russia-Ukraine border. The United States and other countries have ac­cused Russia of planning an invasion of Ukraine. On February 24th, Putin announced a “special military operation,” supposedly to “demilitarize” and “denazify” Ukraine. In light of these events, the global economy and con­sequently the financial markets had significant structural breaks; based on these facts, this paper aims to analyze the synchronizations between the capital markets of Austria (Austrian Traded), Budapest (BUX), Bulgaria (SE SOFIX), Croatia (CROBEX), Russia (MOEX), Czech Republic (Prague SE PX), Ro­mania (BET), Slovakia (SAX 16), and Slovenia (SBI TOP), in the period from January 2nd, 2017 to May 6th, 2022. To perform this analysis and to get more robust results we divided the sample into two sub-periods: The first from January 2nd, 2017, to December 31st, 2019, with the second sub-peri­od called capital markets stress comprising the time lapse from January 1st, 2020, to May 6th, 2022. In order to answer the research question, we aim to find out, whether the Russian invasion of Ukraine accentuated interdepend­encies in Central/Eastern European financial markets. The time series do not show normal distributions, with the Russian market showing the high­est risk; we find that the markets broke down significantly, mostly in March 2022 arising from instability in the global economy. The results obtained suggest very significant levels of integration during the stress period in the capital markets analyzed, and we see that during the quiet period the Slo­vakian market tends to be highly integrated (8 out of 8 possible), while the Slovenian market shows no integration with its regional peers, which shows that we are dealing with a segmented market. These findings suggest that markets tend toward integration in periods of extreme volatility, calling into question the implementation of efficient portfolio diversification strategies.

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

ERAZ Selected Papers 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 Selected Papers: ISBN 978-86-80194-61-5, 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., Horta, N., Revez, C., Alexandre, P., & Heliodoro, P. (2022). Risk Diversification in Central and Eastern European Capital Markets: Evidence from Russia’s Invasion of Ukraine. In V. Bevanda (Ed.), ERAZ Conference – Knowlegde Based Sustainable Development: Vol 8. Selected Papers (pp. 1-10). Association of Economists and Managers of the Balkans.


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