A ten-year retrospective on the determinants of Russian stock returns

Citation:

Anatolyev, Stanislav (2008) A ten-year retrospective on the determinants of Russian stock returns, Research in International Business and Finance, Vol. 22, No. 1, pp. 5667

Abstract:

We study factors influencing returns at the Russian stock market from 1995 to 2004, putting emphasis on how these evolved over time. We find that the relationship is highly unstable and this instability is not confined to financial crises alone. Most computed statistics exhibit constant ups and downs, but there has been recently a sharp rise in explainability of stock returns. Domestic factors have been playing a gradually diminishing role, while the importance of international factors has been increasing. In recent years, the effect of oil prices and foreign exchange rates has diminished, the impact of US stock prices and international and domestic interest rates has increased, while the influence of monetary aggregates such as gold reserves and credit balances has fallen to practically zero.

Paper in RePEc:

Research in International Business and Finance, 22:1, 56-67

Paper in accepted version:

RusStock.pdf

Cited by:

Muravyev, A. (2009) "Dual class stock in Russia: Explaining a pricing anomaly", Emerging Markets Finance and Trade 45 (2), 21-43.

Kashif Saleem and Mika Vaihekoski (2008) "Pricing of global and local sources of risk in Russian stock market", Emerging Markets Review, Vol. 9, pp. 40-56.

C.A.J. Middleton, S.G.M. Fifield and D.M. Power (2008) "An investigation of the benefits of portfolio investment in Central and Eastern European stock markets ", Research in International Business and Finance, Vol. 22, pp. 162-174.

Alexei Goriaev and Alexey Zabotkin (2006) "Risks of investing in the Russian stock market: Lessons of the first decade", Emerging Markets Review, Vol. 7, pp. 380-397.