The Russian Stock Market during the Ukrainian Crisis: A Network Perspective
Journal Title: Finance a uver - Year 2016, Vol 66, Issue 6
Abstract
The goal of the this paper is to investigate the shock spillover characteristics of the Russian stock market during different rounds of sanctions imposed as a reaction to Russia’s alleged role in the Ukrainian crisis. We consider six stock markets, represented by their respective stock indices, namely the US (DJIA), the UK (FTSE), the euro area (Euro Stoxx 50), Japan (Nikkei 225), China (SSE Composite) and Russia (RTS). Linking these markets together in a network on the basis of vector autoregressive processes, we can measure, among other things: (i) direct daily return and volatility spillovers from RTS to other market indices, (ii) daily propagation values quantifying the relative importance of the Russian stock market as a return or volatility shock propagator, and (iii) the amount of network repercussions after a shock. The last two are methodological innovations in this context. It turns out that distinct spillover patterns exist in different rounds of sanctions. Large-scale sanctions, beginning in July 2014, rendered the consequences of shocks from Russia less predictable. While these sanctions reduced the importance of the Russian stock market as a propagator of return shocks, they also increased its importance as a propagator of volatility shocks, thus making the network more vulnerable with respect to volatility shocks from the Russian stock market. This is a form of backlash that the sanctioning economies have been facing.
Authors and Affiliations
Harald Schmidbauer, Angi Rosch, Erhan Uluceviz, Erkol Narod
Keywords
Related Articles
- EP ID EP297627
- DOI -
- Views 148
- Downloads 0
Improving Bankruptcy Prediction in Micro-Entities by Using Nonlinear Effects and Non-Financial Variables
The use of non-parametric methodologies, the introduction of non-financial variables, and the development of models geared towards the homogeneous characteristics of corporate sub-populations have recently experienced a...
Capital Controls and the Determinants of Entrepreneurship
There is consensus on the need for entrepreneurship (a micro phenomenon) to drive the larger macroeconomy. However, little research has been done on how specific macroeconomic policies might in turn impact entrepreneursh...
Financing Behavior of Romanian Listed Firms in Adjusting to the Target Capital Structure
This study investigates financing behavior in adjusting to the target capital structure of Romanian firms listed on the Bucharest Stock Exchange during the period 2004–2011. Using a dynamic panel data model and Arrelano’...
Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context
Our work tests the usefulness of score measures based on fundamental signals in an out-of-sample study during the past two decades. While previous research, primarily focused on the US, demonstrates that fundamental sign...
Institutions, Policy and Banking Sector Development: A Reassessment
This paper investigates the links between institutional quality and government policy in banking sector development, using data from 80 low-, middle- and high-income economies during 1985–2007. In order to investigate th...