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No contagion from Russia toward global equity markets after the 2014 international sanctions

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  • Castagneto-Gissey, G.
  • Nivorozhkin, E.

Abstract

We examine the possibility of financial contagion from the Russian stock market toward 18 global markets as a result of the international sanctions arising from Russia’s actions in Crimea. We develop a dynamic heteroskedastic procedure and use z-transform analysis to determine the potential degrees of contagion and explore possible volatility spillovers. Among our main results, the Russian market substantially decoupled from the vast majority of world markets, irrespectively of the strength of economic ties between Russia and the corresponding countries. Nonetheless, the crisis was characterized by large transmissions of volatility associated with the Russian stock market, particularly in emerging and frontier economies.

Suggested Citation

  • Castagneto-Gissey, G. & Nivorozhkin, E., 2016. "No contagion from Russia toward global equity markets after the 2014 international sanctions," Economic Analysis and Policy, Elsevier, vol. 52(C), pages 79-98.
  • Handle: RePEc:eee:ecanpo:v:52:y:2016:i:c:p:79-98
    DOI: 10.1016/j.eap.2016.08.006
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    2. Mukherjee, Raja & Paul, Satya & Shankar, Sriram, 2018. "Equity home bias—A global perspective from the shrunk frontier," Economic Analysis and Policy, Elsevier, vol. 57(C), pages 9-21.
    3. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Sanctions and the Russian stock market," Research in International Business and Finance, Elsevier, vol. 40(C), pages 150-162.

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    More about this item

    Keywords

    Financial contagion; Equity market; Ukrainian crisis; Volatility spillover; Sanctions;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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