This paper analyses the impact of Ukraine–Russia conflict on stock markets in Europe. We consider the stock markets of nine EU countries and Russia. The analysis consists of day-firm which includes the time between 24 November 2021 and 23 May 2022. We consider ordinary least squared (OLS) and fixed effects as baseline models. Additionally, we consider the impact of this conflict on stock return for several months, the elasticity test, the instrumental variable—two-stage least squared (2SLS) approach for the robustness test and endogeneity concerns. We find evidence of the negative impact of the Ukraine–Russia conflict on stock return of that stock markets. In addition, our finding indicates that the impact of this war on the mining construction and manufacturing sectors is greater than on other sectors because Russia and Ukraine are the key suppliers or exporters of mining and manufacturing sector. Our finding also indicates that Ukraine–Russia conflict largely affects stock return of Russian stocks because Russia is directly involved in the conflict.