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dc.contributor.author | Ankudinov A. | |
dc.contributor.author | Ibragimov R. | |
dc.contributor.author | Lebedev O. | |
dc.date.accessioned | 2018-09-19T20:28:10Z | |
dc.date.available | 2018-09-19T20:28:10Z | |
dc.date.issued | 2017 | |
dc.identifier.issn | 0275-5319 | |
dc.identifier.uri | https://dspace.kpfu.ru/xmlui/handle/net/142930 | |
dc.description.abstract | © 2017 Elsevier B.V.The article presents the robust estimates of extreme movements and heavy-tailedness properties for Russian stock indices returns before and after sanctions were introduced. The obtained results show that almost for all sectoral indices there was a statistically significant increase in volatility. At the same time there is not enough evidence of structural breaks in heavy-tailedness, though some indications of heavier both right and left tails in the post-imposition period can be observed for some indices. However, we cannot with complete certainty directly link the increase in heavy-tailedness with the imposed sanctions. The latter to a considerable extent could be caused by higher country-specific risks due to geopolitical tensions as well as oil prices volatility. Whatever is the cause, any increases in heavy-tailedness can have grave consequences for corporate management, economic modeling and financial stability analysis. | |
dc.relation.ispartofseries | Research in International Business and Finance | |
dc.subject | Heavy tails | |
dc.subject | Russia | |
dc.subject | Sanctions | |
dc.subject | Stock market | |
dc.subject | Structural breaks | |
dc.subject | Volatility | |
dc.title | Sanctions and the Russian stock market | |
dc.type | Article | |
dc.relation.ispartofseries-volume | 40 | |
dc.collection | Публикации сотрудников КФУ | |
dc.relation.startpage | 150 | |
dc.source.id | SCOPUS02755319-2017-40-SID85012093700 |