Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212759 
Year of Publication: 
2013
Series/Report no.: 
BOFIT Discussion Papers No. 4/2013
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. A TGARCH-BEKK model is employed to assess the degree of correlation between markets, taking into account the global market stochastic trend. We find that correlation between markets increased between 2000 and 2012. Growth was especially high in Eastern European markets during 2004-2006, which is likely connected with the EU accession of these countries in 2004.
Subjects: 
Russian stock market
oil
financial market integration
stock market returns
news
emerging markets
transition economies
JEL: 
G10
G14
G15
C5
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-02-8
Document Type: 
Working Paper

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