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 (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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Bibliographic InfoPaper provided by Bank of Finland, Institute for Economies in Transition in its series BOFIT Discussion Papers with number 8/2008.
Length: 31 pages
Date of creation: 17 Jun 2008
Date of revision:
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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Web page: http://www.suomenpankki.fi/bofit_en/
More information through EDIRC
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; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
- NEP-CIS-2008-06-27 (Confederation of Independent States)
- NEP-TRA-2008-06-27 (Transition Economics)
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