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International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis

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Author Info
Saleem, Kashif () (BOFIT)

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Abstract

This 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 (1995). We find evidence of direct linkage between the Russian equity market and the world markets 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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Publisher Info
Paper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 8/2008.

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Length: 31 pages
Date of creation: 17 Jun 2008
Date of revision:
Handle: RePEc:hhs:bofitp:2008_008

Note: multivariate GARCH;volatility spillovers;Russian Financial crisis;contagion;partial integration
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Postal: Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland
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Related research
Keywords: multivariate GARCH; volatility spillovers; Russian Financial crisis; contagion; partial integration;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2009-11-27.

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