Title: Measuring the spillover effects of commodities prices and international markets on the Russian stock exchange
Authors: Robert Hornegold - Heriot-Watt University (United Kingdom) [presenting]
Marco Lorusso - Northumbria University (United Kingdom)
Michele Costola - SAFE, Goethe University Frankfurt (Germany)
Abstract: The connectedness between Russian economy sectors (including the government sector), commodities prices and international markets is investigated by using a previous approach. The analysis is based on variance decompositions from high-dimensional vector autoregressions to characterize connectedness in returns vs. volatility spillovers for the sample period 2005-2018. We focus on specific events related to shocks in the Russian economy, commodities market and international markets. The estimated results show that both returns and volatility of the Russian stock market index (MOEX) are greatly influenced by periods of persistent high and low oil prices. Moreover, we find that Oil \& Gas is the Russian sector that mostly affects MOEX. The contribution of this industry is particularly strong during two periods: the plunge of oil prices started in 2015 and the international sanctions imposed by US and EU to the Russian economy in 2013. Interestingly, the Oil \& Gas industry has important spillover effects on both returns and volatility of Russian government bonds. As far as other commodities are concerned, coal makes the most significant contribution to MOEX returns, whilst natural gas makes the greatest contribution to MOEX volatility for the sample period. Finally, our findings indicate that EU and US stock markets have an important influence on MOEX returns during the global financial crisis of 2007-2009.