International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis
AbstractThis study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Economet. Theor. 11, 122-150]. We find evidence of direct linkage between the Russian equity market 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Research in International Business and Finance.
Volume (Year): 23 (2009)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/ribaf
Multivariate GARCH Volatility spillovers Russian financial crisis Contagion Partial integration;
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