International Linkage of the Russian Market and the Russian Financial Crisis: A Multivariate GARCH Analysis

31 Pages Posted: 17 Jun 2008

See all articles by Kashif Saleem

Kashif Saleem

Lappeenranta University of Technology - School of Business (LSB)

Date Written: June 13, 2008

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 Classification: C32, G15

Suggested Citation

Saleem, Kashif, International Linkage of the Russian Market and the Russian Financial Crisis: A Multivariate GARCH Analysis (June 13, 2008). BOFIT Discussion Paper No. 8/2008, Available at SSRN: https://ssrn.com/abstract=1147015 or http://dx.doi.org/10.2139/ssrn.1147015

Kashif Saleem (Contact Author)

Lappeenranta University of Technology - School of Business (LSB) ( email )

Department of Finance
PO Box 20
Lappeenranta, 53851
Finland
+358 5 621 7284 (Phone)

HOME PAGE: http://www.lut.fi/kati/staff.php?start=0&id=329

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
159
Abstract Views
1,372
Rank
397,994
PlumX Metrics