What determines the behavior of the Russian stock market

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 pe...

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Bibliographic Details
Published inIDEAS Working Paper Series from RePEc
Main Author Peresetsky, A A
Format Paper
LanguageEnglish
Published St. Louis Federal Reserve Bank of St. Louis 01.01.2011
Subjects
Securities markets
Stock exchanges
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Summary: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.