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No contagion from Russia toward global equity markets after the 2014 international sanctions

Castagneto-Gissey, G; Nivorozhkin, E; (2016) No contagion from Russia toward global equity markets after the 2014 international sanctions. Economic Analysis and Policy , 52 pp. 79-98. 10.1016/j.eap.2016.08.006. Green open access

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Abstract

We examine the possibility of financial contagion from the Russian stock market toward 18 global markets as a result of the international sanctions arising from Russia's actions in Crimea. We develop a dynamic heteroskedastic procedure and use z-transform analysis to determine the potential degrees of contagion and explore possible volatility spillovers. Among our main results, the Russian market substantially decoupled from the vast majority of world markets, irrespectively of the strength of economic ties between Russia and the corresponding countries. Nonetheless, the crisis was characterized by large transmissions of volatility associated with the Russian stock market, particularly in emerging and frontier economies.

Type: Article
Title: No contagion from Russia toward global equity markets after the 2014 international sanctions
Open access status: An open access version is available from UCL Discovery
DOI: 10.1016/j.eap.2016.08.006
Publisher version: http://dx.doi.org/10.1016/j.eap.2016.08.006
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Financial contagion, Equity market, Ukrainian crisis, Volatility spillover, Sanctions
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of the Built Environment > Bartlett School Env, Energy and Resources
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > SSEES
URI: https://discovery.ucl.ac.uk/id/eprint/1516874
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