Year of Graduation
Investigation of Intedependencies among National Stock Market Indices
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’ 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.