IDEAS home Printed from https://ideas.repec.org/a/ids/ijcome/v4y2014i1-2p82-95.html
   My bibliography  Save this article

What drives the Russian stock market: world market and political shocks

Author

Listed:
  • Anatoly Peresetsky

Abstract

In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is the nearest market index in terms of closing time to the Russian stock index. We find that political news like the Yukos arrests or news on the Georgian war have a short-term impact, since there are many other shocks. These factors confirm the structural instability of the Russian financial market.

Suggested Citation

  • Anatoly Peresetsky, 2014. "What drives the Russian stock market: world market and political shocks," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(1/2), pages 82-95.
  • Handle: RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:82-95
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=60288
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. S. Ozornov, 2015. "Validity Of Fama And French Model On Rts Index," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(4), pages 22-43.
    2. N.N. Natocheeva & V.B. Frolova & T.V. Belyanchikova, 2018. "Model of Assessing the Impact of Factors on Cash Flow Multiplicators," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 2), pages 338-347.
    3. V. Frolova B. & T. Khan F. & В. Фролова Б. & Т. Хань Ф., 2018. "Драйверы стоимости продуктовых розничных компаний на развитых и развивающихся рынках // Cost Drivers for Food Retailers in Developed and Emerging Markets," Экономика. Налоги. Право // Economics, taxes & law, ФГОБУ "Финансовый университет при Правительстве Российской Федерации" // Financial University under The Government of Russian Federation, vol. 11(6), pages 100-111.
    4. Mirzosaid Sultonov, 2016. "Dynamic conditional correlation and causality relationship among foreign exchange, stock and commodity markets: Evidence from 2014 Russian financial crisis," Economics Bulletin, AccessEcon, vol. 36(2), pages 949-962.
    5. Ankudinov, Andrei & Ibragimov, Rustam & Lebedev, Oleg, 2017. "Extreme movements of the Russian stock market and their consequences for management and economic modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 45, pages 75-92.
    6. Shanaev, Savva & Ghimire, Binam, 2019. "Is all politics local? Regional political risk in Russia and the panel of stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 70-82.
    7. Fantazzini, Dean, 2014. "Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'," MPRA Paper 55430, University Library of Munich, Germany.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijcome:v:4:y:2014:i:1/2:p:82-95. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=311 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.