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

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  • Saleem, Kashif

    ()
    (BOFIT)

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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File URL: http://www.suomenpankki.fi/bofit_en/tutkimus/tutkimusjulkaisut/dp/Documents/dp0808.pdf
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Bibliographic 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
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
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Web page: http://www.suomenpankki.fi/bofit_en/
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Related research

Keywords: multivariate GARCH; volatility spillovers; Russian Financial crisis; contagion; partial integration;

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References

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  1. Andrew C. Worthington & Masaki Katsuura & Helen Higgs, 2003. "Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises," Asia-Pacific Financial Markets, Springer, vol. 10(1), pages 29-44.
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Citations

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Cited by:
  1. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2013. "European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(4), pages 154-167, November.
  2. Ben m'barek Hassene & Ben romdhane Hager, 2010. "Financial Crises and Banking Deregulation: the Case of Tunisia," Economics Bulletin, AccessEcon, vol. 30(1), pages 669-682.
  3. Hsien-Yi Lee, 2012. "Contagion in International Stock Markets during the Sub Prime Mortgage Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 41-53.
  4. Hsien-Yi LEE, 2011. "Contagion in International Stock Markets During the sub Prime Mortgage Crisis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 8, pages 141-158, December.
  5. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Priscilla Liang & Thomas D. Willett & Nan Zhang, 2010. "The Slow Spread Of The Global Crisis," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 33-58.
  7. Khan, Salman & Batteau, Pierre, 2011. "Should the government directly intervene in stock market during a crisis?," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 350-359.

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