Tail Dependence in European Stock Markets Amid the Russo‐Ukrainian War: Shifting Linkages and Their Determinants

Wojciech Grabowski and Jakub Janus

International Finance, 2026, vol. 29, issue 2, 443-455

Abstract: This study investigates the impact of the Russo‐Ukrainian war on stock market connectedness across 24 European economies. Using a framework based on Clayton copulas, we identify changes in the left‐tail dependence of stock market returns during the war period relative to a pre‐pandemic benchmark period and explore their determinants through limited‐dependent variable models. We find that war‐induced shifts in market connectedness are significant but not uniform across markets, involving both elevated left‐tail linkages (financial contagion) and instances of increased market resilience. Such diverse changes can be attributed not only to cross‐country differences in stock market volatility, macroeconomic stability, and countries' proximity to the war zone but also to their reliance on fossil fuel imports. Our results highlight the need to consider these vulnerabilities in portfolio diversification strategies and financial stability policies.

Date: 2026
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