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 |
|