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Regular version of the site
Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Aleksandra Lebedeva
The Crisis Influence on the Stock Market Interaction
Economics and Statistics
(Bachelor’s programme)
9
2016
This paper is devoted to the research of the impact of the Russian financial crisis of 2014-2016 on the relationship between the Russian stock market, equity markets of developed and emerging countries and some macroeconomic factors.

For this purpose, such methods as Granger Causality test, VAR model estimation, impulse response analysis, Johansen Cointegration test and DCC-GARCH were implemented. The sample studied is presented by the values of stock indices of developed and developing countries, such as Russia, the USA, Germany, Japan, Czech Republic, France, Brazil, India, China and macroeconomic factors as crude oil Brent price and exchange rate (USD to RUB) on daily basis since 16 October 2012 till 22 February 2016.

We inferred that between these stock markets there were not long-term linkages and the crisis did not change it. However, speaking about short-term linkages, the current national crisis strengthened them between Russian stock market and markets of developed countries, especially European ones. In case of emerging countries, the crisis’ impact was not so obvious: there was only significant increase in correlation between Russian and Brazilian stock markets. The correlation between Russian equity market, oil price and exchange rate were also strengthened during the crisis, however it is not clear whether the crisis was the reason of this increase.

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