International linkage of the Russian market and the Russian financial crisis : a multivariate GARCH analysis
Saleem, Kashif (16.06.2008)
Numero
8/2008Julkaisija
Bank of Finland
2008
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072088Tiivistelmä
This study considers the linkage of the Russian equity market to the world market, examin-ing the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear. Keywords: Multivariate GARCH; Volatility spillovers; Russian Financial crisis; contagion; partial integration JEL Classification: C32, G15.
Julkaisuhuomautus
Published in Research in International Business and Finance, Volume 23, Issue 3, September 2009, Pages 243-256