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https://doi.org/10.1016/j.ruje.2016.04.002
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Russian stock market in the aftermath of the Ukrainian crisis
[journal article]
Abstract This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic goodness-of-fit and bootstrapped regression approaches to study the behavior of global equity indices. Our results reveal ... view more
This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic goodness-of-fit and bootstrapped regression approaches to study the behavior of global equity indices. Our results reveal a significant fall in the degree of synchronicity between the Russian and global equity returns after the crisis outbreak. The Russian stock market clearly decoupled from both developed and emerging markets, as shown by a 30-50% decline in returns correlation. In view of dramatic increase in synchronicity across the Russian sectoral stock indices after the sanctions were introduced, our results suggest that the economic sanctions imposed on Russia during that period have effectively isolated the Russian equity market from the rest of the world and triggered extensive portfolio outflows from the Russian market. As a result of the economic sanctions and the limited choice of investments in Russia, the decreased co-movement between the Russian and global equity returns is unlikely to provide investors with superior diversification opportunities, whilst the returns of the Russian market in the medium-term will likely continue to be predominately driven by idiosyncratic news.... view less
Keywords
Russia; stock market; equity
Classification
National Economy
Free Keywords
synchronicity; decoupling; Ukrainian crisis
Document language
English
Publication Year
2016
Page/Pages
p. 23-40
Journal
Russian Journal of Economics, 2 (2016) 1
ISSN
2618-7213
Status
Published Version; reviewed
Licence
Creative Commons - Attribution-Noncommercial-No Derivative Works 4.0