Volatility spillovers in the Russian stock market: Responses to exogenous shocks

V. Balash and A. Faizliev
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V. Balash: Saratov State University, Saratov, Russia
A. Faizliev: Saratov State University, Saratov, Russia

Journal of the New Economic Association, 2025, vol. 67, issue 2, 65-84

Abstract: This paper analyzes the effects of volatility spillovers in the Russian stock market for the Moscow Exchange sectors' indices for 2020-2024. Volatility spillovers between sectors' indices allow us to characterize the risk spread structure and identify sectors that are sources and recipients of risks, and the level of systemic risk. During the period under review, the Russian economy and stock market underwent a significant transformation associated with the influence of global economic and political shocks. A method for analyzing the sensitivity of the risk spread network to the most significant shocks is proposed, based on the identification of connectivity indices (volatility spillover measures). Analysis of connectivity indices allows us to make conclusions about the influence of external factors on the spillover dynamics. The results obtained allow us to estimate the share of spillover measures that can be attributed to the influence of extreme events, as well as to study the dynamics of the risk spread network transformation in the Russian stock market. The results of the study provide new information on the impact of extreme events on volatility effects for Russian sector indices.

Keywords: spillover effects; volatility spillovers; vector autoregressive models; simultaneous anomalies; augmented vector autoregressive models; economic and political crises (search for similar items in EconPapers)
JEL-codes: C31 G11 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2025:i:67:p:65-84

DOI: 10.31737/22212264_2025_2_65-84

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