Comments on: Dynamic Causal Links between the Russian Stock Exchange and Selected International Stock Markets

Abstract

Achsani and Strohe analyse dynamic effects of both the Russian stock market on other stock markets and of other stock markets on the Russian stock market. They employ four different methods. The first one uses correlation analysis to measure the co-variability of two stock markets. The other three are based on a vector autoregressive model (VAR). The second method draws on Granger causality to test if other stock markets help explain the development of the Russian stock market for instance. The third method employs impulse response functions to measure how, for instance, the Russian stock market responds over time to a shock in another stock market. Method number four uses forecast error decomposition to measure how much of the variation in, for instance, the Russian stock market can be explained by the variation in other stock markets.