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

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Title: International linkage of the Russian market and the Russian financial crisis : a multivariate GARCH analysis
Author: Saleem, Kashif
Organization: Bank of Finland
Department / Unit: Institute for Economies in Transition (BOFIT)
Series: BOFIT Discussion Papers
Series number: 8/2008
Year of publication: 2008
Publication date: 16.6.2008
Published in: Published in Research in International Business and Finance, Volume 23, Issue 3, September 2009, Pages 243-256
Pages: 29 s.
Keywords: osakkeet; mallit; integraatio; Venäjä; volatiliteetti; kansainvälinen; osakemarkkinat; rahoitusmarkkinat; kriisit; leviäminen; Bofit-kokoelma; GARCH
JEL: C32; G15
Abstract: This study considers the linkage of the Russian equity market to the world market, examin-ing 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.
Rights: https://helda.helsinki.fi/bof/copyright


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