What determines stock market behavior in Russia and other emerging countries?

What determines stock market behavior in Russia and other emerging countries?

We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa...

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Veröffentlicht in:BOFIT discussion papers 2013-02, Vol.2013 (4), p.4
Hauptverfasser: Korhonen, Iikka, Peresetsky, Anatoly
Format: Artikel
Sprache:eng
Schlagworte:
Causality
Commodities
Crude oil
Crude oil prices
Efficient markets
Emerging markets
Equity
EU membership
International finance
Rates of return
Regression analysis
Securities markets
Stochastic models
Stock exchanges
Studies
Transition economies
Volatility
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Zusammenfassung:We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. [PUBLICATION ABSTRACT]
ISSN:1456-4564
1456-5889