What determines stock market behavior in Russia and other emerging countries?

Arbeitspapier

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.

Angaben zum Objekt

• ISBN: 978-952-6699-02-8
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: BOFIT Discussion Papers ; No. 4/2013

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Thema: Russian stock market ; oil ; financial market integration ; stock market returns ; news ; emerging markets ; transition economies

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Korhonen, Iikka ; Peresetsky, Anatoly
• Ereignis: Veröffentlichung
• (wer): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (wo): Helsinki
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/212759
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ