What determines the behavior of the Russian stock market
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41508.
Date of creation: 2011
Date of revision:
Russian stock market; oil; gas; financial market behavior; financial market integration; stock market returns; news; emerging markets; transition economies;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- 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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