The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets
AbstractThis paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, there is some persistence in both bond and stock market returns. Second, we find that U.S. stock market returns Granger-cause Russian financial markets. Third, growth in oil prices has a positive effect on Russian stock market returns. Fourth, there is a significant economic and statistical influence of a specific type of news on the Russian bond market: Positive (negative) news related to the energy sector raise (lower) daily returns by one percentage point. News from the war in Chechnya, on the other hand, do not appear to have a significant influence on financial markets.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0209001.
Date of creation: 12 Sep 2002
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financial market behavior; financial market integration; stock market returns; bonds market returns; news; emerging markets; transition economies;
Other versions of this item:
- Hayo, Bernd & Kutan, Ali M., 2002. "The impact of news, oil prices, and international spillovers on Russian financial markets," ZEI Working Papers B 20-2002, ZEI - Center for European Integration Studies, University of Bonn.
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-09-21 (All new papers)
- NEP-ENE-2002-09-21 (Energy Economics)
- NEP-FMK-2002-09-21 (Financial Markets)
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