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 journalArticlepeer-review

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

Fingerprint

Dive into the research topics of 'Russian equity market linkages before and after the 1998 crisis: evidence from stochastic and regime-switching cointegration tests'. Together they form a unique fingerprint.

Cite this