Linkages and Relationships between Emerging European and Developed Stock Markets Before and after the Russian Crisis of 1997-1998

We examine the relationship between Russian and other Central and Eastern European equity markets over the 1995-2004 period. Using traditional Johansen and Juselius multivariate cointegration approaches and examining Impulse Response Functions from VECM's we find that the extent of the relationship differs markedly before and after the Russian crisis of 1998. However, further examination, using the Gregory-Hansen approach, indicates that the effect of the Russian crisis is more complex, and that Russian market shows significantly more evidence of integration with developed markets since, albeit the extent of interdependencies differs in case of the US and European markets. A DCC model indicates that the conditional relationship between the Russian market and the main developed markets is, as shown by the Gregory-Hansen approach, shifting