Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests

Brian Lucey and Svitlana Voronkova

Journal of International Money and Finance, 2008, vol. 27, issue 8, 1303-1324

Abstract: This paper examines the relationships between Russian and other equity markets over the period of 1995-2004. To account for potential instability in the market relationships we apply a number of cointegration approaches: Gregory-Hansen [1996. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 70, 99-126] test, which allows for a structural break in the relationships, a stochastic cointegration framework by McCabe [2003. Testing for Stochastic Cointegration and Evidence for Present Value Models. Working Paper], the non-parametric test by Breitung [2002. Nonparametric tests for unit roots and cointegration. Journal of Econometrics 108(2), 343-363] and a regime-switching cointegration model in the spirit of Ho [1999. Financial liberalization and international capital mobility of Taiwan: a regime-switching approach. Asian Economic Journal 13(4), 407-417]. The tests point to a significant agreement that the Russian equity market remained isolated from the influence by international markets in the long run and that while a structural break might have occurred in August 1998 this did not alter the nature of long-run relationships.

Keywords: Stock; market; integration; CEE; stock; markets; Russian; Stock; Market; Cointegration (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:27:y:2008:i:8:p:1303-1324

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