Dorota Witkowska , Krzysztof Kompa
Abstract
In 2020 the global economy was affected by the pandemic resulting in essential decrease of GDP growth rate world-wide. The economic situation was improving but in February 2022 Russia invaded Ukraine. Therefore, a question arises how the capital markets in different parts of the world reacted to economic problems caused by pandemic and the war in Ukraine. We investigate the daily quotations of stock indexes in 28 capital markets from the third quarter of 2019 to the end of 2022. This period is divided into 4 subperiods ¬ pre-pandemic, pandemic shock, pre-war and war periods. In our research we apply structural analysis and statistical tests comparing expected rates of return and risk in the considered periods. In the pandemic shock period, there were bear markets in the majority of countries, which have not been observed after Russian invasion, as in some capital markets global maximum has been detected during the war. The Russian-Ukrainian war causes economic perturbances and increases volatility in equity markets, but the declines in index values were smaller than those caused by the pandemics in all countries except Russia and Greece. Our results do not indicate a significantly stronger response from the bordering countries and states dependent on Russian and Ukrainian supplies.