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Volatility spillovers in the Russian stock market: Responses to exogenous shocks

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  • Balash, V.

    (Saratov State University, Saratov, Russia)

  • Faizliev, A.

    (Saratov State University, Saratov, Russia)

Abstract

This paper analyzes the effects of volatility spillovers in the Russian stock market for the Moscow Exchange sectors' indices for 2020-2024. Volatility spillovers between sectors' indices allow us to characterize the risk spread structure and identify sectors that are sources and recipients of risks, and the level of systemic risk. During the period under review, the Russian economy and stock market underwent a significant transformation associated with the influence of global economic and political shocks. A method for analyzing the sensitivity of the risk spread network to the most significant shocks is proposed, based on the identification of connectivity indices (volatility spillover measures). Analysis of connectivity indices allows us to make conclusions about the influence of external factors on the spillover dynamics. The results obtained allow us to estimate the share of spillover measures that can be attributed to the influence of extreme events, as well as to study the dynamics of the risk spread network transformation in the Russian stock market. The results of the study provide new information on the impact of extreme events on volatility effects for Russian sector indices.

Suggested Citation

  • Balash, V. & Faizliev, A., 2025. "Volatility spillovers in the Russian stock market: Responses to exogenous shocks," Journal of the New Economic Association, New Economic Association, vol. 67(2), pages 65-84.
    • Handle: RePEc:nea:journl:y:2025:i:67:p:65-84
    DOI: 10.31737/22212264_2025_2_65-84
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    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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