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Risks of investing in the Russian stock market: Lessons of the first decade

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  • Alexei Goriaev

    ()
    (CEFIR/New Economic School)

  • Alexei Zabotkin

    ()

Abstract

The modern history of the Russian stock market has mirrored ups and downs of the country’s transition as well as swings in investor perceptions. In this paper, we describe the evolution of the Russian stock market over its first decade, with particular attention to the risk factors driving stock returns. First, we analyze the development of the institutional infrastructure and dynamics of the market’s size and liquidity measured by the number of listed and traded stocks, depositary receipts and IPOs as well as trading volume in the local stock exchanges and abroad. Then, we examine major political and economic events, which influenced the investor perceptions of the country risk and were reflected in stock prices. Finally, we carry out quantitative analysis of risk factors explaining considerable time and cross-sectional variation in Russian stock returns. We document a significant role of corporate governance, political risk, and macroeconomic risk factors, such as global equity markets performance, oil prices, and exchange rates, whose relative importance varied a lot over time.

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Bibliographic Info

Paper provided by Center for Economic and Financial Research (CEFIR) in its series Working Papers with number w0077.

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Length: 27 pages
Date of creation: Aug 2006
Date of revision:
Handle: RePEc:cfr:cefirw:w0077

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Keywords: financial institutions; risk factors; Russian stock market;

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References

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Citations

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Cited by:
  1. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp353, IIIS.
  2. Smirnova, Elena, 2008. "Depositary receipts and firm value: Evidence from Central Europe and Russia," Emerging Markets Review, Elsevier, Elsevier, vol. 9(4), pages 266-279, December.
  3. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 107-121.
  4. Muravyev, Alexander, 2009. "Investor protection and share prices: Evidence from statutory rules governing variations of shareholders’ class rights in Russia," MPRA Paper 13678, University Library of Munich, Germany.
  5. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 686-697, October.
  6. Bouton, Lawrence & Tiongson, Erwin R., 2010. "Subjective perceptions of financing constraints: How well do they reflect credit market conditions?," Emerging Markets Review, Elsevier, Elsevier, vol. 11(2), pages 98-105, June.
  7. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional CAPM in the Russian Stock Market," Eurasian Economic Review, Eurasia Business and Economics Society, Eurasia Business and Economics Society, vol. 1(2), pages 157-178, Fall.
  8. Alexander Muravyev, 2009. "Dual Class Stock in Russia: Explaining a Pricing Anomaly," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 45(2), pages 21-43, March.
  9. Cristi Spulbar & Mihai Nitoi, 2012. "The Impact Of Political And Economic News On The Euro/Ron Exchange Rate: A Garch Approach," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 52-58, December.
  10. Soultanaeva, Albina, 2008. "Impact of Political News on the Baltic State Stock Markets," UmeÃ¥ Economic Studies, UmeÃ¥ University, Department of Economics 735, Umeå University, Department of Economics.
  11. Saleem, Kashif & Vaihekoski, Mika, 2007. "Time-varying global and local sources of risk in Russian stock market," MPRA Paper 5787, University Library of Munich, Germany.
  12. Berezinets, Irina & Ilina, Yulia & Muravyev, Alexander, 2011. "CEO and Board Characteristics as Determinants of Private Benefits of Control: Evidence from the Russian Stock Exchange," IZA Discussion Papers 6256, Institute for the Study of Labor (IZA).
  13. Muravyev, Alexander, 2009. "Investor Protection and the Value of Shares: Evidence from Statutory Rules Governing Variations of Shareholders' Class Rights in Russia," IZA Discussion Papers 4669, Institute for the Study of Labor (IZA).
  14. Davydov, Denis & Vähämaa, Sami, 2013. "Debt source choices and stock market performance of Russian firms during the financial crisis," Emerging Markets Review, Elsevier, Elsevier, vol. 15(C), pages 148-159.
  15. Saleem, Kashif & Vaihekoski, Mika, 2008. "Pricing of global and local sources of risk in Russian stock market," Emerging Markets Review, Elsevier, Elsevier, vol. 9(1), pages 40-56, March.

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