EconStor >
Rheinische Friedrich-Wilhelms-Universität Bonn >
Zentrum für Europäische Integrationsforschung (ZEI), Universität Bonn >
ZEI Working Papers, Zentrum für Europäische Integrationsforschung, Universität Bonn >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/39598
  
Title:The impact of news, oil prices, and international spillovers on Russian financial markets PDF Logo
Authors:Hayo, Bernd
Kutan, Ali M.
Issue Date:2002
Series/Report no.:ZEI working paper B 20-2002
Abstract:This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, there is some persistence in both bond and stock market returns. Second, we find that U.S. stock market returns Granger-cause Russian financial markets. Third, growth in oil prices has a positive effect on Russian stock market returns. Fourth, there is a significant economic and statistical influence of a specific type of news on the Russian bond market: Positive (negative) news related to the energy sector raise (lower) daily returns by one percentage point. News from the war in Chechnya, on the other hand, do not appear to have a significant influence on financial markets.
Subjects:financial market behavior
financial market integration
stock market returns
bonds market returns
news
emerging markets
transition economies
JEL:C5
G12
G15
F36
Document Type:Working Paper
Appears in Collections:ZEI Working Papers, Zentrum für Europäische Integrationsforschung, Universität Bonn

Files in This Item:
File Description SizeFormat
361251262.pdf253.98 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/39598

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.