BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 8/2008:
International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis
Kashif Saleem ()
Abstract: This study considers the linkage of the Russian equity
market to the world market, examining the international transmission of the
Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by
Engle and Kroner (1995). We find evidence of direct linkage between the
Russian equity market and the world markets with regards to returns and
volatility. While the weakness of the linkage suggests that the Russian
equity market was only partially integrated into the world market at the
time of the crisis, evidence of contagion is clear.
Keywords: multivariate GARCH; volatility spillovers; Russian Financial crisis; contagion; partial integration; (follow links to similar papers)
JEL-Codes: C32; G15; (follow links to similar papers)
31 pages, June 17, 2008
multivariate GARCH;volatility spillovers;Russian Financial crisis;contagion;partial integration
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