The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets

34 Pages Posted: 16 Mar 2004

See all articles by Bernd Hayo

Bernd Hayo

University of Marburg - School of Business & Economics

Ali M. Kutan

Southern Illinois University at Edwardsville

Multiple version iconThere are 2 versions of this paper

Date Written: February 2004

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, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets depends upon the degree of financial liberalization. The higher the degree of financial liberalization, the stronger is the impact of U.S. stock returns on Russian financial markets. In addition, banking reform and interest rate liberalization efforts seem to dictate the globalization of Russian stock markets, while it is the progress in liberalizing securities markets and non-bank financial institutions that matters more for the globalization of Russian bond 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

Hayo, Bernd and Kutan, Ali M., The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets (February 2004). William Davidson Institute Working Paper No. 656. Available at SSRN: https://ssrn.com/abstract=517664 or http://dx.doi.org/10.2139/ssrn.517664

Bernd Hayo (Contact Author)

University of Marburg - School of Business & Economics ( email )

Universitaetsstr. 24
Marburg, D-35032
Germany
++49(0)6421-28-23091 (Phone)
++49(0)6421-28-23193 (Fax)

Ali M. Kutan

Southern Illinois University at Edwardsville ( email )

Department of Economics and Finance AH-3141
Edwardsville, IL 62026-1102
United States
618-650-3473 (Phone)
618-650-3047 (Fax)

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