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This paper is devoted to the study of short-term and long-term relationships between the Russian stock market and financial markets of USA, UK, Germany, Japan and Hong Kong. Brent crude oil price and USD/RUB exchange rate are also included in the analysis. Research methodology includes testing for stationarity, Granger causality test, Johansen cointegration test, and building Vector Autoregression and Vector Error Correction models. The results show a significant difference in the nature of interdependences in the pre-crisis and crisis periods. There is presence of short-term linkages between Russian market and US, UK, Japanese and Hong Kong markets, as well as with oil price at the pre-crisis period. At the same time there are long-term relations of the Russian market with markets of US, UK, Germany, Japan and Hong Kong, with oil price and USD/RUB exchange rate at the pre-crisis period. During the ongoing crisis, long-term linkages disappear. This can be explained by the fact that there is no new equilibrium yet and so there are only short term dependence between fluctuations on financial markets. Short-term linkages with markets of US, Japan and Hong Kong persist during the crisis.

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