کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003212 937557 2009 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis
چکیده انگلیسی

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH–BEKK model proposed by Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Economet. Theor. 11, 122–150]. We find evidence of direct linkage between the Russian equity market 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 23, Issue 3, September 2009, Pages 243–256
نویسندگان
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