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Linkages and relationships between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998

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  • Brian Lucey
  • Svitlana Voronkova

Abstract

This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the nature of these relationships after the so called Russian Crisis of 1997-1998. The nature of this change is such that we can no longer rely on the the traditional methods used to examine linkages between equity markets. Using a more appropriate set of tools we find that the major influences on the Russian stock market have become the equity markets of the European Union and the USA. There is very little evidence of influence from (or to) regional markets such as Poland or Hungary. Classification-

Suggested Citation

  • Brian Lucey & Svitlana Voronkova, 2005. "Linkages and relationships between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998," The Institute for International Integration Studies Discussion Paper Series iiisdp054, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp054
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    Cited by:

    1. Ajay K. Dhamija & Surendra S. Yadav & PK Jain, 2018. "Volatility spillover of energy markets into EUA markets under EU ETS: a multi-phase study," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 20(3), pages 561-591, July.
    2. Demian, Calin-Vlad, 2011. "Cointegration in Central and East European markets in light of EU accession," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 144-155, February.

    More about this item

    Keywords

    Stock Market Integration; CEE Stock markets; Russian Stock Market; Cointegration;
    All these keywords.

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