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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

Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests

Lucey, Brian M.; Voronkova, Svitlana - In: Journal of International Money and Finance 27 (2008) 8, pp. 1303-1324

This paper examines the relationships between Russian and other equity markets over the period of 1995-2004. To account for potential instability in the market relationships we apply a number of cointegration approaches: Gregory-Hansen [1996. Residual-based tests for cointegration in models with...

Persistent link: https://www.econbiz.de/10005402730

Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests

Lucey, Brian M.; Voronkova, Svitlana - In: Journal of international money and finance 27 (2008) 8, pp. 1303-1324

Persistent link: https://www.econbiz.de/10008141190

Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests

Lucey, Brian M.; Voronkova, Svitlana - In: Journal of international money and finance 27 (2008) 8, pp. 1303-1325

Persistent link: https://www.econbiz.de/10008899483

Real and financial aspects of financial integration

Flavin, Thomas J. (contributor); Lucey, Brian M. (contributor) - In: The quarterly review of economics and finance : journal … 46 (2006) 3, pp. 315-436

Persistent link: https://www.econbiz.de/10003358615

Russian equity market linkages before and after the 1998 crisis : evidence from stochastic and regime-switching cointegration tests

Lucey, Brian M.; Voronkova, Svitlana - In: Journal of international money and finance 27 (2008) 8, pp. 1303-1324

Persistent link: https://www.econbiz.de/10003804883

The relations between emerging European and developed stock markets before and after the Russian Crisis of 1997 - 1998

Lucey, Brian M.; Voronkova, Svitlana - In: Emerging European financial markets : independence and …, (pp. 383-413). 2006

Persistent link: https://www.econbiz.de/10003423391

Russian equity market linkages before and after the 1998 crisis : evidence from time-varying and stochastic cointegration tests

Lucey, Brian M.; Voronkova, Svitlana - 2005

Persistent link: https://www.econbiz.de/10003174040

Reassessing co-movements among G7 equity markets : evidence from iShares

Barari, Mahua; Lucey, Brian M.; Voronkova, Svitlana - In: Applied financial economics 18 (2008) 10/12, pp. 863-877

Persistent link: https://www.econbiz.de/10003739447

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