• Rogneda Vasilyeva Graduate School of Economics and Management, Ural Federal University, Ekaterinburg
  • Valentin Voytenkov Graduate School of Economics and Management, Ural Federal University, Ekaterinburg
  • Alina Urazbaeva Graduate School of Economics and Management, Ural Federal University, Ekaterinburg




stock markets, Moscow exchange index, cointegration analysis, volatility, Impulse Response Functions


Currently, financial markets are growing rapidly, which increases the necessity to examine the financial sector. Considering the Russian Federation, the amount of private investors has doubled in Russia since the beginning of 2020 (Finam, 2020). It is important to realize how cash flows between the largest stock market indices. The main hypothesis of the research suggests that the U.S., Germany, and China markets result in significant changes in the Russian stock market. The research objective is to determine the degree of the Russian stock market dependence on the markets of developed and developing countries using methods of econometric analysis. Daily data on S&P500, DAX30, Hang Seng, and Moscow Exchange Index from January 1, 2015, to December 31, 2019, were taken. The research method chosen is a cointegration approach, including the construction of vector autoregression and vector error-correction models and the application of Impulse Response Functions. The results of the Granger causality test reveal no significant interconnection between the Dax30 and the Moscow Stock Exchange Index; the S&P500 affects the Moscow Exchange Index, whereas the Russian stock market affects the Chinese one. According to the cointegration analysis, there is a strong positive influence of the American stock market on the Russian stock market, which does not decrease during the researched period. The stock indices of China and Germany show a weak quantitative influence and mixed dynamics for a long time. The results of the research could be used as recommendations for making management decisions by private investors, hedge funds and managers of large companies.


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How to Cite

Vasilyeva, R. ., Voytenkov, V. ., & Urazbaeva, A. . (2021). DYNAMIC LINKAGES BETWEEN STOCK MARKETS: EVIDENCE FROM USA, GERMANY, CHINA AND RUSSIA. Proceedings of CBU in Economics and Business, 2, 95-101. https://doi.org/10.12955/peb.v2.260
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