Liquidity Spillover Effects in Russian Market

Student: Khromenko Kateryna

Supervisor: Marat Z. Kurbangaleev

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

There has been a significant increase in the need to measure liquidity due to the globalization of financial markets, which means the liquidity can spillover from one market to another, from one asset class to another. This aspect of liquidity has been examined by many researchers for developed markets, but the study of "spillovers" in the Russian market has not been previously studied. This paper examines the effects of liquidity spillovers on the Russian stock market on the data for one day. Various methods of statistical analysis were used to examine these effects. In addition, a one-dimensional Hawkes process was used to analyze “self-exciting” events in a single asset.

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