International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis.

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]