Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212621 
Authors: 
Year of Publication: 
2008
Series/Report no.: 
BOFIT Discussion Papers No. 8/2008
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
This study considers the linkage of the Russian equity market to the world market, examin-ing the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear.
Subjects: 
Multivariate GARCH
Volatility spillovers
Russian Financial crisis
contagion
partial integration
JEL: 
C32
G15
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-907-2
Document Type: 
Working Paper

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