WTI OIL SHOCKS IN EASTERN EUROPEAN STOCK MARKETS: A VAR APPROACH

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