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What determines the behavior of the Russian stock market

Author

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  • Peresetsky, A. A.

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, 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 Yukos arrests or news on the Georgian war have a short term impact, since there are many other shocks, the structural instability of the Russian financial market is confirmed.

Suggested Citation

  • Peresetsky, A. A., 2011. "What determines the behavior of the Russian stock market," MPRA Paper 41508, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:41508
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    References listed on IDEAS

    as
    1. Bernd Hayo & Ali M. Kutan, 2005. "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 373-393, April.
    2. Peresetsky, A. & Turmuhambetova, G. & Urga, G., 2001. "The development of the GKO futures market in Russia," Emerging Markets Review, Elsevier, vol. 2(1), pages 1-16, March.
    3. Mirzosharif JALOLOV & Tatsuyoshi MIYAKOSHI, 2005. "Who Drives The Russian Financial Markets?," The Developing Economies, Institute of Developing Economies, vol. 43(3), pages 374-395, September.
    4. Peresetsky, Anatoly & Ivanter, Alexander, 2000. "Interaction of the Russian Financial Markets," Economic Change and Restructuring, Springer, vol. 33(1-2), pages 103-140.
    5. repec:zbw:bofitp:2005_009 is not listed on IDEAS
    6. Chesney, Marc & Reshetar, Ganna & Karaman, Mustafa, 2011. "The impact of terrorism on financial markets: An empirical study," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 253-267, February.
    7. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Becker, Torbjörn, 2019. "Russia’s macroeconomy—a closer look at growth, investment, and uncertainty," SITE Working Paper Series 49, Stockholm School of Economics, Stockholm Institute of Transition Economics.
    2. Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
    3. R. Sverchkov & K. Sonin., 2014. "Financial Markets Efficiency (Nobel Memorial Prize in Economics 2013)," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 1.
    4. repec:zbw:bofitp:2013_004 is not listed on IDEAS
    5. Lozinskaia, Agata & Saltykova, Anastasiia, 2019. "Fundamental Factors Affecting the MOEX Russia Index: Retrospective Analysis," MPRA Paper 97308, University Library of Munich, Germany, revised 23 Sep 2019.
    6. 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.
    7. Korhonen, Iikka & Peresetsky, Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Korhonen, Iikka & Peresetsky, Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers 4/2013, Bank of Finland, Institute for Economies in Transition.
    9. 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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    More about this item

    Keywords

    Russian stock market; oil; gas; financial market behavior; financial market integration; stock market returns; news; emerging markets; transition economies;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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