Rolling 262-day window estimates of coefficients of determination (R-squared) of the market model for the MSCI Emerging Markets Index and MSCI Russia Index in the period January 2002–September 2015. Notes: EM (LC) are the local currency estimates, whereas EM (USD) are the estimates in US dollars. The MSCI Emerging Markets Index and MSCI Russia Index are total return indices in USD terms and local currencies. Sources: Thomson Reuters Datastream; Authors’ calculations.