Scandinavian Working Papers in Economics
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Institute for Economies in Transition, Bank of Finland 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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