Risks of investing in the Russian stock market: Lessons of the first decade

Emerging Markets Review

Volumn 7, Issue 4, 2006, Pages 380-397

  Goriaev, Alexei ^a   Zabotkin, Alexei ^b  

^a NEW ECONOMIC SCHOOL   (Russian Federation)

^b Deutsche UFG ^*  (Russian Federation)

Author keywords

Financial institutions; G15; O16; Risk factors; Russian stock market

Indexed keywords

EID: 33751422292     PISSN: 15660141     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ememar.2006.09.005     Document Type: Article

References (34)

1. Anatolyev S., 2005. A ten-year retrospection of the behavior of Russian stock returns. BOFIT Discussion Paper No. 9
2. Barry C.B., Golgreyer E., Lockwood L., and Rodriguez M. Robustness of size and value effects in emerging equity markets, 1985-2000. Emerging Markets Review 3 (2002) 1-30
3. Bekaert G., and Harvey C. Emerging equity market volatility. Journal of Financial Economics 43 (1997) 29-77
4. Black B., Kraakman R., and Tarassova A. Russian privatization and corporate governance: what went wrong?. Stanford Law Review 52 (2000) 1731-1808
5. Black B., Love I., and Rachinsky A. Corporate governance indices and firms' market values: time series evidence from Russia. Emerging Markets Review (2006-this issu) doi:10.1016/j.ememar.2006.09.004
6. Claessens S., Djankov S., and Klingebiel D. Stock Markets in Transition Economies. The World Bank Financial Sector Discussion Paper vol. 5 (2000)
7. De Jong F., and de Roon F.A. Time-varying market integration and expected returns in emerging markets. Journal of Financial Economics 78 (2005) 583-613
8. Fama E.F., and French K.R. Value versus growth: the international evidence. Journal of Finance 53 6 (1998) 1975-1999
9. Fedorov P., and Sarkissian S. Cross-sectional variations in the degree of global integration: the case of Russian equities. Journal of International Financial Markets, Institutions, and Money 102 (2000) 131-150
10. Freeland C. Sale of the Century (2000), Crown Business, New York
11. Frye T. Credible commitment and property rights: evidence from Russia. American Political Science Review 98 3 (2004) 453-466
12. Garcia R., and Ghysels E. Structural change and asset pricing in emerging markets. Journal of International Money and Finance 17 (1998) 455-473
13. Goldman M. The Piratization of Russia: Russian Reform Goes Awry (2003), Rutledge
14. Goriaev A. Risk factors in the Russian stock market. Working Paper (2004), New Economic School
15. Goriaev A., and Sonin K. Is political risk company-specific? The market side of the Yukos affair. Working Paper (2005), New Economic School
16. Guriev S., and Rachinsky A. The role of oligarchs in Russian capitalism. Journal of Economic Perspectives 19 1 (2005) 131-150
17. Hall, S., Urga, G., 2002. Testing for ongoing efficiency in the Russian stock market, working paper, Imperial College and City University Business School.
18. Hanousek J., and Filer R.K. The relationship between economic factors and equity markets in Central Europe. Economics of Transition 8 3 (2000) 623-638
19. Harvey C. Predictable risk and return in emerging markets. Review of Financial Studies 8 (1995) 773-816
20. Hoff K., and Stiglitz J.E. After the Big Bang? Obstacles to the emergence of the rule of law in post-communist societies. American Economic Review 94 3 (2004) 753-763
21. Hoffman D. The Oligarchs: Wealth and Power in the New Russia (2002), PublicAffairs, New York
22. King R.G., and Levine R. Finance and growth: Schumpeter might be right. The Quarterly Journal of Economics 108 3 (1993) 717-737
23. La Porta R., Lopez-de-Silanes F., Shleifer A., and Vishny R. Legal determinants of external finance. Journal of Finance 52 (1997) 1131-1150
24. Levine R. Law, finance, and economic growth. Journal of Financial Intermediation 8 (1999) 8-35
25. Lucey B.M., and Voronkova S. Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests. BOFIT Working Paper (2005)
26. Mateus T. The risk and predictability of equity returns of the EU accession countries. Emerging Markets Review 5 (2004) 241-266
27. Morck R., Yeung B., and Yu W. The information content of stock markets: why do emerging markets have synchronous stock price movements?. Journal of Financial Economics 58 (2000) 215-260
28. Rajan R.G., and Zingales L. Financial dependence and growth. American Economic Review 88 (2003) 559-586
29. Rajan R.G., and Zingales L. The great reversals: the politics of financial development in the twentieth century. Journal of Financial Economics 69 1 (2003) 5-50
30. Rouwenhorst K.G. Local return factors and turnover in emerging stock markets. Journal of Finance 54 4 (1999) 1439-1464
31. Schumpeter J.A. A Theory of Economic Development (1911), Harvard University Press, Cambridge, MA
32. Sokalska. What drives equity returns in Central and Eastern Europe. Working Paper (2001), Warsaw School of Economics
33. Sonin K. Why the rich may favor poor protection of property rights. Journal of Comparative Economics 31 4 (2003) 715-731
34. Van der Hart J., Slagter E., and van Dijk D. Stock selection strategies in emerging markets. Journal of Empirical Finance 10 (2003) 105-132