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The impact of news, oil prices, and global market developments on Russian financial markets

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Author Info
Bernd Hayo
Ali M. Kutan

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Abstract

This paper analyses the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets depends upon the degree of financial liberalization. The higher the degree of financial liberalization, the stronger is the impact of US stock returns on Russian financial markets. In addition, banking reform and interest rate liberalization efforts seem to dictate the globalization of Russian stock markets, while it is the progress in liberalizing securities markets and non-bank financial institutions that matters more for the globalization of Russian bond markets. Copyright (c) 2005 The European Bank for Reconstruction and Development.

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Article provided by The European Bank for Reconstruction and Development in its journal The Economics of Transition.

Volume (Year): 13 (2005)
Issue (Month): 2 (04)
Pages: 373-393
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Handle: RePEc:bla:etrans:v:13:y:2005:i:2:p:373-393

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  1. Oberndorfer, Ulrich & Ulbricht, Dirk, 2007. "Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis," ZEW Discussion Papers 07-030, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  2. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    Other versions:
  3. M. Lucey, Brian & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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