Sanctions and the Russian stock market

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Title: Sanctions and the Russian stock market
Authors: Ankudinov, A
Ibragimov, R
Lebedev, O
Item Type: Journal Article
Abstract: The article presents the robust estimates of extreme movements and heavy-tailedness properties for Russian stock indices returns before and after sanctions were introduced. The obtained results show that almost for all sectoral indices there was a statistically significant increase in volatility. At the same time there is not enough evidence of structural breaks in heavy-tailedness, though some indications of heavier both right and left tails in the post-imposition period can be observed for some indices. However, we cannot with complete certainty directly link the increase in heavy-tailedness with the imposed sanctions. The latter to a considerable extent could be caused by higher country-specific risks due to geopolitical tensions as well as oil prices volatility. Whatever is the cause, any increases in heavy-tailedness can have grave consequences for corporate management, economic modeling and financial stability analysis.
Issue Date: 1-Apr-2017
Date of Acceptance: 26-Jan-2017
URI: http://hdl.handle.net/10044/1/67551
DOI: https://dx.doi.org/10.1016/j.ribaf.2017.01.005
ISSN: 0275-5319
Publisher: Elsevier
Start Page: 150
End Page: 162
Journal / Book Title: Research in International Business and Finance
Volume: 40
Copyright Statement: © 2017 Elsevier B.V. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/
Sponsor/Funder: Russian Science Foundation
Funder's Grant Number: 16-18-10432
Keywords: Social Sciences
Business, Finance
Business & Economics
Heavy tails
Russia
Structural breaks
Sanctions
Stock market
Volatility
GLOBAL FINANCIAL CRISIS
ECONOMIC SANCTIONS
INTERNATIONAL SANCTIONS
TAIL BEHAVIOR
RETURNS
DIVERSIFICATION
INTEGRATION
TAILEDNESS
IMPROVE
IMPACT
1502 Banking, Finance And Investment
Finance
Publication Status: Published
Online Publication Date: 2017-02-05
Appears in Collections:Imperial College Business School



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