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 ZEI - Center for European Integration Studies, University of Bonn in its series ZEI Working Papers with number B 20-2002.
Date of creation: 2002
Date of revision:
financial market behavior; financial market integration; stock market returns; bonds market returns; news; emerging markets; transition economies;
Other versions of this item:
- Bernd Hayo & Ali Kutan, 2002. "The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets," Finance 0209001, EconWPA.
- 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
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