The effects of the war in Ukraine on the equity market in Poland

Abstract

This study investigates the association between the Russia-Ukraine war and the Polish stock market, distinguishing between energy price exposure and a geopolitical sentiment channel. Using daily data from 1 November 2021 to 31 January 2025 within a GARCH framework, it analyses return dynamics across sectoral indices. Energy-related sectors are more sensitive to oil, gas, and coal price movements, while firms linked to Ukraine appear exposed to gas-market fluctuations. A sentiment proxy based on Google searches for ‘Ukraine’ is associated with short-term declines in returns, followed by partial reversals, consistent with temporary overreaction, and coincides with movements in energy markets. Robustness checks confirm these patterns. The findings suggest that observed dynamics may be related to both energy-price developments and shifts in investor attention and uncertainty. Energy prices and sentiment factors may be relevant for risk assessment, with short-term reactions informative for trading and risk management.