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Investigation of Intedependencies among National Stock Market Indices

Student: Andreeva Elizaveta

Supervisor: Grigory Kantorovich

Faculty: Faculty of Economic Sciences

Educational Programme: Bachelor

Year of Graduation: 2014

<p>This paper is devoted to the effect of the political crisis in Ukraine 2013-2014 upon the relations between national stock markets of seven countries: Russia, Ukraine, Czech Republic, Kazakhstan, Germany, the United Kingdom and the USA. The main methodologies used in the investigation are cointegration, VEC-model, VAR-model and Granger causality. The crucial findings of this paper are listed as follows: 1) a long-term interaction among studied countries exists; 2) since the political crisis began an influence of western countries&rsquo; stock markets on the Ukrainian has strengthened while the same impact of the Russian market became weaker; 3) Short-run shocks on the Ukrainian market appeared during the crisis affect only Russian and Kazakhstan markets; 4) political crisis have no impact on the interconnections between the other countries.</p>

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