IDEAS home Printed from
   My bibliography  Save this paper

Was the Russian Financial Crisis Contagious?


  • Ulugbek Olimov

    (Center for Economic Research)


Using daily data from the stock markets of nine European transition economies, this paper tests for stock market contagion during the 1998 Russian financial crisis by utilizing both univariate and bivariate correlation analysis. The results of the linear model indicate that there is no evidence of contagion, while the bivariate analysis, based on the newly developed Corsetti-Pericoli-Sbracia (CPS) test, reveals the presence of structural breaks between the Russian and Czech stock markets. Moreover, crisis-post crisis comparison analysis shows that contagion occurred after the Russian crisis. This paper proposes to label such an effect as a 'reverse' contagion. The results of Monte Carlo experiments show that the linear model performs poorly under the null hypothesis of interdependence and systematically under-rejects in the case of small test sizes. In sum, at least for the examined parameter values, it appears that the CPS test has less size distortion than the linear model.

Suggested Citation

  • Ulugbek Olimov, 2004. "Was the Russian Financial Crisis Contagious?," International Finance 0409003, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpif:0409003
    Note: Type of Document - pdf; pages: 17

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Brian H. Boyer & Michael S. Gibson & Mico Loretan, 1997. "Pitfalls in tests for changes in correlations," International Finance Discussion Papers 597, Board of Governors of the Federal Reserve System (U.S.), revised 1997.
    Full references (including those not matched with items on IDEAS)

    More about this item


    The Russian crisis; stock market contagion;

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpif:0409003. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.