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

Svitlana Voronkova and Brian M Lucey


This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the
nature of these relationships after the so called Russian Crisis of 1997-1998. The nature of this change is such that we can no longer rely on the the traditional methods used to examine linkages between equity markets. Using a more appropriate set of tools we find that the major influences on the Russian stock market have become the equity markets of the European Union and the USA. There is very little evidence of influence from (or to) regional markets such as Poland or Hungary.

Keywords: Stock Market Integration, CEE Stock markets, Russian Stock Market, Cointegration JEL Classification: G10, G15

Last updated 28 August 2014 by IIIS (Email).