Geopolitical Shocks in a Frontier Market: Panic and Recovery in the Thai–Cambodian Border Conflict on the CSX

We investigate the speed and permanence of geopolitical shock pricing in a frontier market by examining the 2025 Thai–Cambodian border conflict on the Cambodia Securities Exchange (CSX). To capture both the immediate onset and subsequent medium-horizon stabilization of geopolitical risk, we deploy a dual-horizon econometric architecture. Short-term, to account for the informational inefficiency inherent to nascent exchanges, we utilize an event-conditioned state-space AR(1) model via a Kalman filter. We find that high-visibility physical conflicts trigger immediate, statistically significant downward price adjustments, whereas low-visibility informational shocks exhibit gradual price incorporation. Medium-term, we evaluate post-conflict valuation recovery across an eight-month horizon in 2026 (January–August, T = 164 trading sessions) by constructing a within-market constant-mean counterfactual evaluated against an empirical distribution of historical placebo windows (2021–2024). We document a distinct behavioral contrast: despite acute short-term adjustments during the conflict, the aggregate CSX Index generated a substantially positive +34.93% Buy-and-Hold Abnormal Return (BHAR) during the 2026 recovery horizon, ranking at the 100th percentile of comparable pre-conflict historical horizons with zero observed exceedances across both rolling windows (fupper = 0/824 = 0.00%) and strictly non-overlapping 164-day blocks (0/6). This descriptive benchmark outperformance is preserved (+30.85%, 100th percentile, fupper = 0/583 = 0.00% rolling windows and 0/4 non-overlapping blocks) under a restricted 2022–2024 baseline. While our three-episode short-run comparison is necessarily exploratory and our aggregate medium-horizon design does not econometrically isolate specific causal mechanisms from contemporaneous macroeconomic covariates (such as monetary conditions or bilateral negotiations), we note that this rapid equity recovery is congruent with independent evidence from spatial development economics, trade analyses, and macroeconomic reporting documenting Cambodia’s swift post-conflict economic adaptation and the realization of a ‘peace dividend’ across formal economic pillars.