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The impact of news, oil prices, and global market developments on Russian financial markets

Bernd Hayo and Ali Kutan ()

The Economics of Transition, 2005, vol. 13, issue 2, 373-393

Abstract: This paper analyses the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear to be sensitive to either type of news. Second, a significant effect of the growth in oil prices on Russian stock returns is detected. Third, the international influence on Russian financial markets depends upon the degree of financial liberalization. The higher the degree of financial liberalization, the stronger is the impact of US stock returns on Russian financial markets. In addition, banking reform and interest rate liberalization efforts seem to dictate the globalization of Russian stock markets, while it is the progress in liberalizing securities markets and non-bank financial institutions that matters more for the globalization of Russian bond markets. Copyright (c) 2005 The European Bank for Reconstruction and Development.

Date: 2005
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Working Paper: The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets (2004) Downloads
Working Paper: The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets (2004) Downloads
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