What Determines Stock Market Behavior in Russia and Other Emerging Countries?

27 Pages Posted: 20 Mar 2013 Last revised: 31 Jan 2014

See all articles by Iikka Korhonen

Iikka Korhonen

Bank of Finland - Institute for Economies in Transition (BOFIT)

Anatoly Peresetsky

National Research University Higher School of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: March 8, 2013

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

JEL Classification: G10, G14, G15, C5

Suggested Citation

Korhonen, Iikka and Peresetsky, Anatoly, What Determines Stock Market Behavior in Russia and Other Emerging Countries? (March 8, 2013). BOFIT Discussion Paper No. 4/2013, Available at SSRN: https://ssrn.com/abstract=2235072 or http://dx.doi.org/10.2139/ssrn.2235072

Iikka Korhonen (Contact Author)

Bank of Finland - Institute for Economies in Transition (BOFIT) ( email )

P.O.Box 160
Helsinki 00101
Finland

Anatoly Peresetsky

National Research University Higher School of Economics ( email )

17 Malaya Ordynka Street
20 Myasnitskaya Street
Moscow, 119017
Russia

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