No contagion from Russia toward global equity markets after the 2014 international sanctions

G. Castagneto-Gissey and Eugene Nivorozhkin ()

Economic Analysis and Policy, 2016, vol. 52, issue C, 79-98

Abstract: We examine the possibility of financial contagion from the Russian stock market toward 18 global markets as a result of the international sanctions arising from Russia’s actions in Crimea. We develop a dynamic heteroskedastic procedure and use z-transform analysis to determine the potential degrees of contagion and explore possible volatility spillovers. Among our main results, the Russian market substantially decoupled from the vast majority of world markets, irrespectively of the strength of economic ties between Russia and the corresponding countries. Nonetheless, the crisis was characterized by large transmissions of volatility associated with the Russian stock market, particularly in emerging and frontier economies.

Keywords: Financial contagion; Equity market; Ukrainian crisis; Volatility spillover; Sanctions (search for similar items in EconPapers)
JEL-codes: C32 E30 F30 F42 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:52:y:2016:i:c:p:79-98

DOI: 10.1016/j.eap.2016.08.006

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