Paulo Alexandre – 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

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

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

2020 and 2022 Events;
Capital markets movements;
Portfolio diversification


Abstract: The purpose of this study is to examine the movements of capital markets in Austria (ATX), Serbia (BELEX 15), Hungary (BUX), Croatia (CROBEX), Russia (IMOEX), the Czech Republic (PRAGUE PX), Slovenia (SBI TOP), and Po­land (WIG) from September 18th, 2017 to September 15th, 2022. To obtain more robust results, we divide the sample into two sub-periods: the Quiet period, from September 18th, 2017, to December 31st, 2019; and the Stress Period, from January 1st, 2020, to September 15th, 2022, marked by the global pandemic (COVID-19), the oil price war in 2020, and the Russian invasion in 2022. The time series exhibit non-normal distributions due to the presence of fat tails, a characteristic that is common in periods of extreme volatility. The results of the VAR Granger Causality/Block Exogeneity Wald Tests model verified the existence of 16 pairs of markets showing co-movements between them dur­ing the quiet subperiod. The market that causes more co-movements is the Austrian stock market (ATX), while the Russian stock index (IMOEX) does not cause shocks in the markets under analysis. In the Stress subperiod, we ver­ify the presence of 42 pairs of markets causing (each other in the Grangeri­an sense. The stock indexes ATX, BUX, CROBEX, and PRAGUE PX show 6 caus­al relations in 7 possible, while the capital markets of Russia (IMOEX) and Po­land are the ones that cause less (4 in 7 possible). In conclusion, we verify that the events that occurred in 2020 and 2022 have significantly increased the movements in these regional markets. Such findings could put into question the implementation of efficient portfolio diversification strategies and even­tually some gains above the market average due to arbitrage levels. The au­thors consider this evidence to be relevant for supervisors, regulators, and in­vestors operating in these regional markets.

6th International Scientific Conference on Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture – ITEMA 2022 – Selected Papers, Hybrid (University of Maribor, Slovenia), October 27, 2022

ITEMA Selected Papers published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ITEMA conference partners: Faculty of Economics and Business, University of Maribor, Slovenia; Faculty of Organization and Informatics, University of Zagreb, Varaždin; Faculty of Geography, University of Belgrade, Serbia; Institute of Marketing, Poznan University of Economics and Business, Poland; Faculty of Agriculture, Banat’s University of Agricultural Sciences and Veterinary Medicine ”King Michael I of Romania”, Romania

ITEMA Conference 2022 Selected Papers: ISBN 978-86-80194-64-6, ISSN 2683-5991, 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. 

Suggested citation

Alexandre, P., Dias, R., Horta, N., Heliodoro, P., & Chambino, M. (2022). Testing the Causal Relationship between Central and Eastern European Capital Markets: Evidence in Periods of Uncertainty in the Global Economy. In V. Bevanda (Ed.), International Scientific Conference ITEMA 2022: Vol 6. Selected Papers (pp. 31-45). Association of Economists and Managers of the Balkans.


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