BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
What determines stock market behavior in Russia and other emerging countries?
() and Anatoly Peresetsky
Abstract: We empirically test the dependence of the Russian stock
market on the world stock market and world oil prices in the period
1997:10–2012:02. We also consider three Eastern European stock markets
(Poland, the Czech Republic, and Hungary), as well as two markets outside
Europe (Turkey and South Africa). We apply a rolling regression to identify
periods when oil prices or stock indices in the US and Japan were
important. Surprisingly, oil prices are not significant for the Russian
stock market after 2006. A TGARCH-BEKK model is employed to assess the
degree of correlation between markets, taking into account the global
market stochastic trend. We find that correlation between markets increased
between 2000 and 2012. Growth was especially high in Eastern European
markets during 2004–2006, which is likely connected with the EU accession
of these countries in 2004.
Keywords: Russian stock market; oil; financial market integration; stock market returns; news; emerging markets; transition economies; (follow links to similar papers)
JEL-Codes: C58; G10; G14; G15; (follow links to similar papers)
27 pages, March 18, 2013
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