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

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  • Iikka Korhonen
  • Anatoly Peresetsky

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 analyze countries that can be considered to be relatively similar to Russia, e.g., Poland, the Czech Republic, and South Africa. First, we apply a rolling regression to identify periods when oil prices or stock indices in the United States and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. Second, we employ a TGARCH-BEKK model to assess the degree of correlation between the markets in question, taking into account the global market stochastic trend. Correlation between markets increased between 2000 and 2012.

Suggested Citation

  • Iikka Korhonen & Anatoly Peresetsky, 2016. "What Influences Stock Market Behavior in Russia and Other Emerging Countries?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(5), pages 1210-1225, May.
  • Handle: RePEc:mes:emfitr:v:52:y:2016:i:5:p:1210-1225
    DOI: 10.1080/1540496X.2015.1037200
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    Citations

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    Cited by:

    1. Jyri Kinnunen & Minna Martikainen, 2017. "Expected Returns and Idiosyncratic Risk: Industry-Level Evidence from Russia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(11), pages 2528-2544, November.
    2. 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.
    3. Gelman, Sergey & Kliger, Doron, 2021. "The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 814-841.
    4. repec:zbw:bofitp:urn:nbn:fi:bof-201511231444 is not listed on IDEAS
    5. 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.
    6. Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
    7. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Tripathy, Trilochan, 2020. "Volatility persistence in the Russian stock market," Finance Research Letters, Elsevier, vol. 32(C).
    8. repec:bof:bofitp:urn:nbn:fi:bof-201511231444 is not listed on IDEAS
    9. Agata Lozinskaia & Anastasiia Saltykova, 2019. "Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series," HSE Working papers WP BRP 77/FE/2019, National Research University Higher School of Economics.
    10. repec:zbw:bofitp:2015_030 is not listed on IDEAS
    11. 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.
    12. 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.
    13. Balashova, Svetlana & Serletis, Apostolos, 2020. "Oil prices shocks and the Russian economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).

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