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A 10-year retrospective on the determinants of Russian stock returns

  • Anatolyev, Stanislav

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File URL: http://www.sciencedirect.com/science/article/B7CPK-4MSHTHB-1/2/57fb1040847cff35a009b581a8c80603
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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 22 (2008)
Issue (Month): 1 (January)
Pages: 56-67

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Handle: RePEc:eee:riibaf:v:22:y:2008:i:1:p:56-67
Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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  1. 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.
  2. Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 87-104.
  3. Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance 0403002, EconWPA.
  4. Zalewska-Mitura, Anna & Hall, Stephen G., 1999. "Examining the first stages of market performance: a test for evolving market efficiency," Economics Letters, Elsevier, vol. 64(1), pages 1-12, July.
  5. R. Gaston Gelos & Ratna Sahay, 2001. "Financial market spillovers in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 53-86, March.
  6. repec:att:wimass:9105 is not listed on IDEAS
  7. Frederic S. Mishkin, 1991. "Does Correcting for Heteroskedasticity Help?," NBER Technical Working Papers 0088, National Bureau of Economic Research, Inc.
  8. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  9. David E. Rapach & Mark E. Wohar, 2006. "Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 238-274.
  10. M. Lucey, Brian & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: Evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
  11. Granville, Brigitte & Mallick, Sushanta, 2006. "Does inflation or currency depreciation drive monetary policy in Russia?," Research in International Business and Finance, Elsevier, vol. 20(2), pages 163-179, June.
  12. Vymyatnina, Yulia, 2006. "How much control does Bank of Russia have over money supply?," Research in International Business and Finance, Elsevier, vol. 20(2), pages 131-144, June.
  13. Vdovichenko, Anna G. & Voronina, Victoria G., 2006. "Monetary policy rules and their application in Russia," Research in International Business and Finance, Elsevier, vol. 20(2), pages 145-162, June.
  14. LeBaron, Blake, 1992. "Forecast Improvements Using a Volatility Index," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S137-49, Suppl. De.
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