Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39598 
Year of Publication: 
2002
Series/Report no.: 
ZEI Working Paper No. B 20-2002
Publisher: 
Rheinische Friedrich-Wilhelms-Universität Bonn, Zentrum für Europäische Integrationsforschung (ZEI), Bonn
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

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