The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets

Hayo, Bernd; Kutan, Ali M.

doi:10.2139/ssrn.330220

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The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets

University of Bonn ZEI Working Paper No. B02-20

32 Pages Posted: 22 Nov 2003

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Ali M. Kutan

Southern Illinois University at Edwardsville

Date Written: August 2002

Abstract

This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, there is some persistence in both bond and stock market returns. Second, we find that U.S. stock market returns Granger-cause Russian financial markets. Third, growth in oil prices has a positive effect on Russian stock market returns. Fourth, there is a significant economic and statistical influence of a specific type of news on the Russian bond market: Positive (negative) news related to the energy sector raise (lower) daily returns by one percentage point. News from the war in Chechnya, on the other hand, do not appear to have a significant influence on financial markets.

Keywords: financial market behavior, financial market integration, stock market returns, bonds market returns, news, emerging markets, transition economies

JEL Classification: C5, G12, G15, F36

Suggested Citation: Suggested Citation

Hayo, Bernd and Kutan, Ali M., The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets (August 2002). University of Bonn ZEI Working Paper No. B02-20, Available at SSRN: https://ssrn.com/abstract=330220 or http://dx.doi.org/10.2139/ssrn.330220