This study presents papers on financial spillover between major developed world capital markets and papers in which is presented the impact of the above mentioned spillover on the emerging markets, such as the Croatian one. The subject of this study is to determine the shortterm effects of the US S&P500 and DJI market indices and the European DAX and FTSE100 indices on the Croatian capital market index, CROBEX. The empirical part of the paper shows the results of vector autoregression models (VAR models) based on daily data estimating the interrelationships and effects of US indices S&P500 and DJI, and the European indices DAX and FTSE100 on the Croatian CROBEX index. The study includes daily data on closing values of the index in the post-crisis period from 1.1.2012. to 31.12.2016, in order to determine if the patterns of interdependence of index movement were recorded in scientific papers prior to the crisis (Vizek and Dadić 2006, Erjavec and Cota 2007, Sajter and Ćorić 2009) retained their characteristics. The results showed that there was a significant impact of the S&P500 index on the movement of the CROBEX index, and that the influence of the DJI index on the movement of the CROBEX index was also significant. The effects of the European capital markets have not shown significant impact on the Croatian capital market. Comparing the results of this study and the conclusions of earlier research we can conclude that the behavior of investors on the Croatian capital market has not changed significantly in comparison to the pre-crisis period and that the impact of information from the US market is still very strong.