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What determines the behavior of the Russian stock market

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  • Peresetsky, A. A.

Abstract

In this paper we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after 2006, the Japan stock index is significant over the whole period, since it is the nearest market index in terms of closing time to the Russian stock index. We find that political news like Yukos arrests or news on the Georgian war have a short term impact, since there are many other shocks, the structural instability of the Russian financial market is confirmed.

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File URL: http://mpra.ub.uni-muenchen.de/41508/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41508.

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Date of creation: 2011
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Handle: RePEc:pra:mprapa:41508

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Related research

Keywords: Russian stock market; oil; gas; financial market behavior; financial market integration; stock market returns; news; emerging markets; transition economies;

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References

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  1. Bernd Hayo & Ali M. Kutan, 2005. "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 373-393, 04.
  2. Chesney, Marc & Reshetar, Ganna & Karaman, Mustafa, 2011. "The impact of terrorism on financial markets: An empirical study," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 253-267, February.
  3. Anatolyev, Stanislav, 2005. "A ten-year retrospection of the behavior of Russian stock returns," BOFIT Discussion Papers 9/2005, Bank of Finland, Institute for Economies in Transition.
  4. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  5. Peresetsky, Anatoly & Ivanter, Alexander, 2000. " Interaction of the Russian Financial Markets," Economic Change and Restructuring, Springer, vol. 33(1-2), pages 103-40.
  6. Peresetsky, A. & Turmuhambetova, G. & Urga, G., 2001. "The development of the GKO futures market in Russia," Emerging Markets Review, Elsevier, vol. 2(1), pages 1-16, March.
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Cited by:
  1. Korhonen, Iikka & Peresetsky , Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland, Institute for Economies in Transition.

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