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

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

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



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


Abstract: Russia invaded Ukraine on February 24th, 2022, marking a steep escalation of the Russo-Ukrainian War, which began in 2014 after the Ukrainian Dignity Revolution. The invasion caused Europe’s largest refugee crisis since World War II, with more than 5.5 million Ukrainians leaving the country and a quarter of the population displaced. At the outbreak of war in 2014, Russia annexed Crimea and Russian-backed separatists who par­ticipated in the south-eastern Donbas region of Ukraine, starting a regional war there. Considering these events, it is relevant for policymakers and reg­ulators to understand how contagious crises are to take appropriate meas­ures to prevent or contain the side effects. To verify the levels of contagion or interdependencies we use Pindyck and Rotemberg’s t-statistic, as well as Forbes and Rigobon’s t-test, which suggests that we are facing extreme vol­atility in the capital markets analysed, and financial contagion is very sig­nificant. In conclusion, the capital markets analysed mostly show that cor­relations have increased in this period of uncertainty in the global economy (Russian invasion in Ukraine), evidencing that investors will find it difficult to diversify risk in these markets. The authors believe that the results achieved represent interest for investors seeking opportunities in these stock markets, and for policymakers to undertake institutional reforms to increase stock market efficiency and promote sustainable growth in financial markets. These findings also open room for market regulators to take steps to ensure better information in these regional markets

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., Alexandre, P., & Heliodoro, P. (2022). Financial Contagion in Central and Eastern European Capital Markets: The Case of Russia’s Invasion of Ukraine. In V. Bevanda (Ed.), ERAZ Conference – Knowlegde Based Sustainable Development: Vol 8. Conference Proceedings (pp. 57-69). Association of Economists and Managers of the Balkans.


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