Russian equity market linkages before and after the 1998 crisis: evidence from stochastic and regime-switching cointegration tests

Brian Lucey, Svitlana Voronkova

Research output: Contribution to journalArticle

Abstract

This paper examines the relationships between Russian and other equity markets over the period of 1995–2004. To account for potential instability in the market relationships we apply a number of cointegration approaches: Gregory–Hansen [1996. Residualbased tests for cointegration in models with regime shifts. Journal of Econometrics 70, 99–126] test, which allows for a structural
break in the relationships, a stochastic cointegration framework by McCabe [2003. Testing for Stochastic Cointegration and Evidence for Present Value Models. Working Paper], the non-parametric test by Breitung [2002. Nonparametric tests for unit roots and cointegration. Journal of Econometrics 108(2), 343–363] and a regime-switching cointegration model in the spirit of Ho [1999. Financial liberalization and international capital mobility of Taiwan:
a regime-switching approach. Asian Economic Journal 13(4),
407–417].
Original languageEnglish
Pages (from-to)1303–1324
Number of pages22
JournalJournal of International Money and Finance
Volume27
Issue number8
DOIs
Publication statusPublished - Dec 2008

Keywords

  • Russia
  • equity market

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