Abstract

This study examines financial contagion between ten SEE stock markets and two benchmarks across three crisis episodes: the Global Financial Crisis (2007–2009), COVID-19 (2020–2021), and the Russia–Ukraine war (2022–2023). Using daily data from January 2007 to September 2025, we apply MODWT wavelet coherence across six investment horizons (2–128 days), complemented by a nonlinear Breitung and Candelon causality test on wavelet decomposition coefficients. Results are validated by DCC-GARCH(1,1) and formally dated by the Bai and Perron structural break test. Three principal contributions were obtained: (1) a systematic EU member versus accession SEE market comparison in contagion research, not previously undertaken in the literature; (2) a multi-crisis comparative analysis showing fast-transmission contagion for the GFC and COVID-19 versus slow-transmission for the Ukraine war; and (3) EU member markets show wavelet coherence 15–24 percentage points higher than accession markets, with predominantly unidirectional causality from benchmarks to SEE markets. Findings have direct implications for portfolio diversification, macroprudential policy calibration, and the EU accession financial integration strategy.

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