Imperial College London

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
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Contact

 

+44 (0)20 7594 9344i.rustam Website CV

 
 
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Location

 

40953 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Ankudinov:2017:10.1016/j.ribaf.2017.01.005,
author = {Ankudinov, A and Ibragimov, R and Lebedev, O},
doi = {10.1016/j.ribaf.2017.01.005},
journal = {Research in International Business and Finance},
pages = {150--162},
title = {Sanctions and the Russian stock market},
url = {http://dx.doi.org/10.1016/j.ribaf.2017.01.005},
volume = {40},
year = {2017}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - 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.
AU - Ankudinov,A
AU - Ibragimov,R
AU - Lebedev,O
DO - 10.1016/j.ribaf.2017.01.005
EP - 162
PY - 2017///
SN - 0275-5319
SP - 150
TI - Sanctions and the Russian stock market
T2 - Research in International Business and Finance
UR - http://dx.doi.org/10.1016/j.ribaf.2017.01.005
UR - http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000416966900012&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
UR - http://hdl.handle.net/10044/1/67551
VL - 40
ER -