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As the onset of the Russia–Ukraine military conflict on February 24, 2022, individuals from Ukraine have been relocating in search of safety and refuge. This study aims to investigate how the influx of Ukrainian refugees has impacted the stock markets and exchange rates of Ukraine's neighboring states.

The authors focused on the neighboring countries that share a western border with Ukraine and have received the highest number of refugees: Hungary, Poland, Romania and Slovakia. The analysis covered the period from April 24 to December 31, 2022. After this period, the influence of the refugees is small, insignificant. Wavelet coherence, wavelet power spectrum and the time-varying parameter vector autoregressions method were used for data processing.

The key finding are as follows: a link exists between the dynamics of refugees from Ukraine and volatility of the stock indices and exchange rate of the host countries; volatility was significant in the first weeks after the start of the conflict in all the analyzed states; and the highest volatility was recorded in Hungary and Poland; the effect of refugees was stronger on stock indices than that on exchange rates.

To the best of the authors’ knowledge, it is the first research that presents the impact of refugees from Ukraine on stock markets and exchange rates volatility in the countries analyzed.