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WHO DRIVES THE RUSSIAN FINANCIAL MARKETS?
Author(s) -
JALOLOV Mirzosharif,
MIYAKOSHI Tatsuyoshi
Publication year - 2005
Publication title -
the developing economies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.305
H-Index - 30
eISSN - 1746-1049
pISSN - 0012-1533
DOI - 10.1111/j.1746-1049.2005.tb00950.x
Subject(s) - financial market , random walk , asset (computer security) , benchmark (surveying) , economics , econometrics , range (aeronautics) , financial asset , finance , financial economics , geography , statistics , mathematics , computer science , engineering , computer security , geodesy , aerospace engineering
By employing the EGARCH model using monthly data from September 1995 to March 2003, we found that financial indicators from Germany rather than the United States are the main drivers of Russian financial markets. In a one‐step prediction, the fluctuations of asset returns are well predicted that the prediction errors fall within the prescribed range of the confidence bands. However, EGARCH does not necessarily dominate the benchmark prediction of the random walk model, because with Russia's financial markets constantly in transition and adjusting to frequent changes in the financial system, the usefulness of past data is diminished.