Transmission of Financial Shocks from East and Southeast Asian Markets to the Russian Stock Market (2008–2023): Identifying Episodes and Analysing Detection Methodologies
https://doi.org/10.24833/2949-639X-2025-2-12-5-27
Abstract
The study focuses on identifying episodes of transmission of financial shocks from Asian stock markets to the Russian stock market in 2008–2023. Particular emphasis is placed on systematising key crisis episodes, their impact on the economies of Russia and Asian countries, and analysing existing methodologies for testing market contagion. The paper outlines fundamental distinctions between joint shocks and the transmission of financial crises, as well as approaches to verifying periods of financial contagion using statistical tools. To identify financial contagion of the Russian stock market originating from the stock markets of Asian countries, a modified approach by K. Forbes and R. Rigobon was employed. Its application revealed the greatest intensity of contagion of the Russian stock market from Asian markets during the China’s 2014 economic recession and the 2020 COVID pandemic. Over the entire period, the Russian stock market showed the greatest susceptibility to shocks emanating from the stock markets of the Republic of Korea, Indonesia, and Hong Kong. The conducted research made it possible to clarify the mechanisms of crisis transmission phenomena amid global instability, identify the specific vulnerabilities of the Russian stock market to Asian shocks, and establish a methodological foundation for further applied analysis. The findings underscore the need for a comprehensive approach to detecting contagion and may assist regulators and market participants in developing preventive measures to mitigate the risks of cross-border financial contagion.
About the Authors
M. Yu. Malkina
Lobachevsky State University of Nizhny Novgorod
Russian Federation
Russian Federation
Doctor of Economic Sciences, Professor, Chief Researcher at the Centre for Macro- and Microeconomics
Nizhny Novgorod
D. Yu. Rogachev
Lobachevsky State University of Nizhny Novgorod
Russian Federation
Russian Federation
Candidate of Sociological Sciences, Associate Professor at the International Economics and Customs Affairs Department
Nizhny Novgorod
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Review
For citations:
Malkina M.Yu., Rogachev D.Yu. Transmission of Financial Shocks from East and Southeast Asian Markets to the Russian Stock Market (2008–2023): Identifying Episodes and Analysing Detection Methodologies. International Business. 2025;(2 (12)):5-27. (In Russ.) https://doi.org/10.24833/2949-639X-2025-2-12-5-27
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