THE CRIMEAN CRISIS THROUGH THE LENS OF INTERNATIONAL STOCK MARKET CO-MOVEMENTS
THE CRIMEAN CRISIS THROUGH THE LENS OF INTERNATIONAL STOCK MARKET CO-MOVEMENTS
Abstract
The Crimean crisis began as a local political crisis but soon escalated to
international level with the involvement of the USA and the EU. The goal of the current
paper is to study its spread through examination of the changes, which took place in the
stock market co-movements. For this purpose the wavelet coherency approach is adopted
as it is characterized by robust results and at the same time reveals information that
remains hidden for the conventional econometric techniques. The investigation focuses on
co-movements between the Ukrainian stock market and the markets of Russia, the USA,
Germany, and the UK for the period Jan-2010 – Jun-2014. A major finding is that while
since the beginning of 2013 the Ukrainian stock market seems to be quite segmented from
the other investigated markets, significant short-term co-movements are detected even
before Feb-2014.
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