ABSTRACT
This article continues the investigations of application of Granger causality tests but considering an application of this test to the analysis of the current cointegration processes between Russian and Asian financial markets. We found that over the past 5–7 years, Russia has made significant progress in establishing relations with Asian countries, in particular with China, Japan, and the Republic of Korea. The increase in trade volumes, large-scale investments in Russian projects, and large deliveries of Russian crude oil have given us reason to assume that the convergence of relations will also affect the cointegration between the Russian and Asian exchanges and, accordingly, financial instruments. It was found that the Moscow Exchange index has a cointegration relationship with the Shanghai index, with the best values obtained using the opening prices for the Moscow index and closing prices for the Chinese index that minimize the nonsynchronous trading effect. The best value, identified by the sampling method, is equal to 8 days. Moreover, Granger causality was found with the Japanese Nikkei index 225. A cointegration model based on the Granger causality test was then used for forecasting of the future quotes of the Moscow Exchange index.
