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

Hortense Santos – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

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

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


5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, March 18, 2021, CONFERENCE PROCEEDINGS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-43-1, ISSN 2683-4510


The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by
Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate
level. In view of these events, this study aims to analyze oil shocks (WTI) in the eastern European stock
markets, namely the stock indices of Hungary (BUX), Croatia (CROBE), Russia (MOEX), Czech Republic
(PRAGUE), Slovakia (SAX 16), Slovenia (SBI TOP), Bulgaria (SOFIX), from September 2019 to
January 2021. The results show mostly structural breakdowns in March 2020, while the VAR Granger
Causality/Block Exogeneity Wald Tests model shows two-way shocks between oil (WTI) and the stock
markets analyzed. These findings show that the hypothesis of portfolio diversification may be called into
question. As a final discussion, we consider that investors should avoid investments in stock markets, at
least as long as this pandemic last, and rebalance their portfolios into assets considered “safe haven”
for the purpose of mitigating risk and improving the efficiency of their portfolios.


Oil (WTI), Eastern European markets, Shocks, Portfolio diversification.


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