The Russian Stock Market during the Ukrainian Crisis: A Network Perspective

Harald Schmidbauer (), Angi Rösch, Erhan Uluceviz and Narod Erkol
Additional contact information
Harald Schmidbauer: BRU-IUL, ISCTE Business Research Unit, ISCTE-IUL, Lisboa
Angi Rösch: FOM University of Applied Sciences, Munich, Germany
Erhan Uluceviz: Istanbul Kemerburgaz University, Istanbul, Turkey
Narod Erkol: Universitat Autonoma, Barcelona, Spain

Czech Journal of Economics and Finance (Finance a uver), 2016, vol. 66, issue 6, 478-509

Abstract: The goal of the this paper is to investigate the shock spillover characteristics of the Russian stock market during different rounds of sanctions imposed as a reaction to Russia’s alleged role in the Ukrainian crisis. We consider six stock markets, represented by their respective stock indices, namely the US (DJIA), the UK (FTSE), the euro area (Euro Stoxx 50), Japan (Nikkei 225), China (SSE Composite) and Russia (RTS). Linking these markets together in a network on the basis of vector autoregressive processes, we can measure, among other things: (i) direct daily return and volatility spillovers from RTS to other market indices, (ii) daily propagation values quantifying the relative importance of the Russian stock market as a return or volatility shock propagator, and (iii) the amount of network repercussions after a shock. The last two are methodological innovations in this context. It turns out that distinct spillover patterns exist in different rounds of sanctions. Large-scale sanctions, beginning in July 2014, rendered the consequences of shocks from Russia less predictable. While these sanctions reduced the importance of the Russian stock market as a propagator of return shocks, they also increased its importance as a propagator of volatility shocks, thus making the network more vulnerable with respect to volatility shocks from the Russian stock market. This is a form of backlash that the sanctioning economies have been facing.

Keywords: : “Systemic five”; Russian stock market; Ukrainian crisis; sanctions; return spillovers; volatility spillovers; network dynamics; propagation value (search for similar items in EconPapers)
JEL-codes: C32 C58 F51 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://journal.fsv.cuni.cz/storage/1372_schmidbauer.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:66:y:2016:i:6:p:478-509

Access Statistics for this article

More articles in Czech Journal of Economics and Finance (Finance a uver) from Charles University Prague, Faculty of Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().