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The impact of news, oil prices, and international spillovers on Russian financial markets

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  • Hayo, Bernd
  • Kutan, Ali M.

Abstract

This 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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Paper provided by ZEI - Center for European Integration Studies, University of Bonn in its series ZEI Working Papers with number B 20-2002.

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Date of creation: 2002
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Handle: RePEc:zbw:zeiwps:b202002

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Keywords: financial market behavior; financial market integration; stock market returns; bonds market returns; news; emerging markets; transition economies;

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  1. R. Gaston Gelos & Ratna Sahay, 2001. "Financial market spillovers in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, The European Bank for Reconstruction and Development, vol. 9(1), pages 53-86, March.
  2. Jouko Rautava, 2002. "The role of oil prices and the real exchange rate in Russia‘s economy," Macroeconomics, EconWPA 0209004, EconWPA.
  3. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  4. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
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  7. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 6(03), pages 318-334, September.
  8. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  9. Torsten Sløk & Peter F. Christoffersen, 2000. "Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?," IMF Working Papers 00/103, International Monetary Fund.
  10. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 391-407, March.
  11. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report, Federal Reserve Bank of Minneapolis 157, Federal Reserve Bank of Minneapolis.
  12. Jurgen Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Series Working Papers 2003-W20, University of Oxford, Department of Economics.
  13. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 3(1), pages 69-83, March.
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