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Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests
Lucey, Brian M.; Voronkova, Svitlana - 2005
This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period.Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including...
Persistent link: https://www.econbiz.de/10012148495
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Russian Equity Market Linkages Before and After the 1998 Crisis : Evidence from Time-Varying and Stochastic Cointegration Tests
Lucey, Brian M. - 2009
This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period. Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches,...
Persistent link: https://www.econbiz.de/10012721277