Russian financial crisis, US financial stock returns and the IMF

Authors: Humayun Kabir, M.¹; Kabir Hassan, M.²

Source: Applied Financial Economics, Volume 19, Number 5, March 2009 , pp. 409-426(18)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

We find a statistically significant increase in adjusted correlation between portfolio returns during the Russian financial crisis period, especially during the peak of the crisis. We also find that commercial bank and Savings & Loan Institutions (S&L) portfolios lost market value significantly with events, starting with the debt moratorium and ruble devaluation on 17 August 1998. Much of the significant losses were driven by smaller size portfolios of financial institutions. The greater losses were incurred by commercial banks, and most importantly, by smaller commercial banks, S&Ls and investment banks in the third sub-period following the debt moratorium. We also found a form of contagion effect on the portfolio of smaller banks. Moreover, International Monetary Fund help or bailout has been perceived ineffective contributing to any recovery from crisis in Russia.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/09603100801935362

Affiliations: 1: Department of Economics and Finance, Banking and Property, Massey University, Palmerston North, New Zealand 2: Department of Economics and Finance, University of New Orleans, New Orleans, USA

Publication date: 2009-03-01

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