The financial crisis that emerged in the United States began to show its effects in Central and Eastern Europe (CEE) in mid-September 2008, upon the collapse of the US bank Lehman Brothers. This shock caused significant declines on CEE stock exchanges, given rising risk aversion, followed by deteriorating macroeconomic conditions. In this context, investors need to know the interdependence relations among the markets in this region in order to better diversify their investment portfolios. Thus, it has become necessary more than ever to analyse the long-run relationships among CEE equity markets and the potential existence of short term disequilibria, which might have risen in response to the shock. This article studies the relations between the stock exchanges of Romania, Poland, the Czech Republic and Hungary before and after the start of the crisis in CEE (January 2000-August 2008 and October 2008-September 2010, respectively). The connections among the monthly yields of the main CEE indices are analysed through the Johanssen co-integration test and the Error Correction Model. The existence of co-integration relationships implies that a portfolio of investments with exposure on several CEE markets could not lead to a substantial risk reduction for investors.