Authors: Anatoly Peresetsky
Addresses: Laboratory of Quantitative Finance of Higher School of Economics, 20 Myasnitskaya Ulitsa, Moscow, 101000, Russia
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.
Keywords: Russian stock market; financial market integration; financial markets; political shocks; world stock markets; world oil prices; Russia; political news; economic news; structural instability.
International Journal of Computational Economics and Econometrics, 2014 Vol.4 No.1/2, pp.82 - 95
Received: 15 Mar 2013
Accepted: 16 Dec 2013
Published online: 08 Apr 2014 *