The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets

Bernd Hayo and Ali Kutan

William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: This paper analyzes 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 U.S. 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.

Keywords: financial market behavior; financial market integration; stock market returns; bonds market returns; news; emerging markets; transition economie (search for similar items in EconPapers)
JEL-codes: C5 F36 G12 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2004-02-01
New Economics Papers: this item is included in nep-cis, nep-cwa and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: The impact of news, oil prices, and global market developments on Russian financial markets (2005)
Working Paper: The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets (2004)
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