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What determines stock market behavior in Russia and other emerging countries?
Korhonen, Iikka; Peresetsky, Anatoly - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2013
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the … well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil … prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian …
Persistent link: https://www.econbiz.de/10010818553
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What determines the behavior of the Russian stock market
Peresetsky, A. A. - Volkswirtschaftliche Fakultät, … - 2011
In this paper we empirically test the dependence of the Russian stock market on the world stock market, world oil … prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after …
Persistent link: https://www.econbiz.de/10011114131
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Oligarchs and the Russian government: fight against corruption or the private business?
Eren, Ozlem - Volkswirtschaftliche Fakultät, … - 2005
Many scholars have interpreted the Russian government’s attack on the private oil companies, as in the most famous …
Persistent link: https://www.econbiz.de/10008695065
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Energy Policy Issues after Privatisation
Newbery, David M G - C.E.P.R. Discussion Papers - 1986
the 1973 oil shock, and the lessons learned from subsequent experience, both in terms of the issues which were thought to …
Persistent link: https://www.econbiz.de/10005666940
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Distribution of Underpricing in Privatization Auctions: Evidence from an Event Study
Tarcisio da Gra?a - In: Review of Economics & Finance 2 (2012) August, pp. 1-19
Winners of the Brazilian privatization auctions (BPAs) earned, on average, a 0.7 percent abnormal return on the days of … prevailing wisdom that auctions are the best method for governments seeking to maximize privatization revenues. Brazilian buyers …
Persistent link: https://www.econbiz.de/10010927764
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Network approach for the Russian stock market
Vizgunov, A.; Goldengorin, B.; Kalyagin, V.; Koldanov, A.; … - In: Computational Management Science 11 (2014) 1, pp. 45-55
We consider a market graph model of the Russian stock market. To study the peculiarity of the Russian market we construct the market graphs for different time periods from 2007 to 2011. As characteristics of constructed market graphs we use the distribution of correlations, size and structure of...
Persistent link: https://www.econbiz.de/10010758716
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Modelling financial returns and portfolio construction for the Russian stock market
Balaev, Alexey I. - In: International Journal of Computational Economics and … 4 (2014) 1/2, pp. 32-81
In this paper, we consider multivariate models for returns on Russian equities based on normal distribution, t-distribution with scalar degrees of freedom parameter and t-distribution with vector degrees of freedom parameter. Our models capture autocorrelation, volatility clustering, dynamic...
Persistent link: https://www.econbiz.de/10010760034
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What drives the Russian stock market: world market and political shocks
Peresetsky, Anatoly - In: International Journal of Computational Economics and … 4 (2014) 1/2, pp. 82-95
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil … prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after …
Persistent link: https://www.econbiz.de/10010816686
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Russian Mutual Funds: Skill vs. Luck
Parshakov, Petr - National Research University Higher School of Economics - 2014
Our work is focused on Russian mutual funds managers' skills versus luck testing. Using the bootstrap procedure of Kosowski et al. (2007) we test Jensen's alpha signicance for each fund. We found that only 5% of equity mutual funds do have skills. These results for the emerging Russian market...
Persistent link: https://www.econbiz.de/10011098903
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Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'
Fantazzini, Dean - Volkswirtschaftliche Fakultät, … - 2014
This double-issue contains 11 papers invited for the first special issue on “Computational methods for Russian economic and financial modelling”. It was an attempt to explore and bring together practical, state-of-the-art applications of computational techniques with a particular focus on...
Persistent link: https://www.econbiz.de/10011114387