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Abstract: This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia''s 1998 financial crisis utilizing the GARCH–BEKK model proposed by Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Economet. Theor. 11, 122–150]. We find evidence of direct linkage between the Russian equity market with regards to returns and volatility, while the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market. At the time of the crisis, evidence of contagion is clear. [Copyright &y& Elsevier]

Abstract: This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., Gérard, B., 1998, How big is the premium for currency risk? Journal of Financial Economics 49, 375–412]. We take US investors'' point of view and use a sample period from 1995 to 2006. The results show that the world market risk together with the currency and local market risks are priced on the Russian stock market. [Copyright &y& Elsevier]