Russian stock market in the aftermath of the Ukrainian crisis

This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic the Russian and global equity returns after the crisis outbreak. The Russian stock market clearly decoupled from both de veloped and emerging markets, as shown by a 30–50% decline in returns correlation. In view of dramatic increase in synchronicity across the Russian sectoral stock indices after the sanctions were introduced, our results suggest that the economic sanctions imposed on Russia during that period have effectively isolated the Russian equity market from the rest of the world and triggered extensive portfolio outof investments in Russia, the decreased co-movement between the Russian and global whilst the returns of the Russian market in the medium-term will likely continue to be predominately driven by idiosyncratic news. reserved. F30, E30, C32, F42. synchronicity, decoupling, equity, stock market, Ukrainian crisis, Russia.