What drives the Russian stock market: world market and political shocks. (9th April 2014)

• Record Type: Journal Article
• Authors: Peresetsky, Anatoly
• Is Part Of: International journal of computational economics and econometrics. Volume 4:Number 1/2(2014)
• Page Start: 82
• Page End: 95
• Publication Date: 2014-04-09
• Subjects: Russian stock market -- financial market integration -- financial markets -- political shocks -- world stock markets -- world oil prices -- Russia -- political news -- economic news -- structural instability; Econometrics -- Periodicals; Economics -- Data processing -- Periodicals; 330.01519505
• Languages: English
• ISSNs: 1757-1170

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.