Linkages and Relationships between Emerging European and Developed Stock Markets Before and after the Russian Crisis of 1997-1998

35 Pages Posted: 2 Dec 2004

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Svitlana Voronkova

Centre for European Economic Research (ZEW)

Date Written: November 2004

Abstract

We examine the relationship between Russian and other Central and Eastern European equity markets over the 1995-2004 period. Using traditional Johansen and Juselius multivariate cointegration approaches and examining Impulse Response Functions from VECM's we find that the extent of the relationship differs markedly before and after the Russian crisis of 1998. However, further examination, using the Gregory-Hansen approach, indicates that the effect of the Russian crisis is more complex, and that Russian market shows significantly more evidence of integration with developed markets since, albeit the extent of interdependencies differs in case of the US and European markets. A DCC model indicates that the conditional relationship between the Russian market and the main developed markets is, as shown by the Gregory-Hansen approach, shifting.

Keywords: Stock Market Integration, CEE Stock markets, Russian Stock Market, Cointegration, DCC GARCH

JEL Classification: G10, G15

Suggested Citation

Lucey, Brian M. and Voronkova, Svitlana, Linkages and Relationships between Emerging European and Developed Stock Markets Before and after the Russian Crisis of 1997-1998 (November 2004). Available at SSRN: https://ssrn.com/abstract=625581 or http://dx.doi.org/10.2139/ssrn.625581

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Svitlana Voronkova

Centre for European Economic Research (ZEW) ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

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