nep-cis 2008-06-27 papers

on Confederation of Independent States

Issue of 2008‒06‒27
one paper chosen by
Anna Y. Borodina
Perm State University

International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis By Saleem, Kashif

International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis

By:	Saleem, Kashif (BOFIT)
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
JEL:	C32 G15
Date:	2008–06–17
URL:	http://d.repec.org/n?u=RePEc:hhs:bofitp:2008_008&r=cis

This nep-cis issue is ©2008 by Anna Y. Borodina. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.

General information on the NEP project can be found at http://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. Put “NEP” in the subject, otherwise your mail may be rejected.

NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.