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Sanctions and the Russian stock market

Andrei Ankudinov, Rustam Ibragimov and Oleg Lebedev

Research in International Business and Finance, 2017, vol. 40, issue C, 150-162

Abstract: The article presents the robust estimates of extreme movements and heavy-tailedness properties for Russian stock indices returns before and after sanctions were introduced. The obtained results show that almost for all sectoral indices there was a statistically significant increase in volatility. At the same time there is not enough evidence of structural breaks in heavy-tailedness, though some indications of heavier both right and left tails in the post-imposition period can be observed for some indices. However, we cannot with complete certainty directly link the increase in heavy-tailedness with the imposed sanctions. The latter to a considerable extent could be caused by higher country-specific risks due to geopolitical tensions as well as oil prices volatility. Whatever is the cause, any increases in heavy-tailedness can have grave consequences for corporate management, economic modeling and financial stability analysis.

Keywords: Heavy tails; Russia; Structural breaks; Sanctions; Stock market; Volatility (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:riibaf:v:40:y:2017:i:c:p:150-162