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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


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  • Публикации сотрудников КФУ Scopus [24551]
    Коллекция содержит публикации сотрудников Казанского федерального (до 2010 года Казанского государственного) университета, проиндексированные в БД Scopus, начиная с 1970г.

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