The MICEX stock market index is down by 2.7%. The ruble is down 1.0% against the dollar.
This comes after the U.S. announced new sanctions against Russia's energy and financial industry.
"Among the targeted firms on the new sanctions list include Rosneft, the world's largest oil company; Gazprombank, Russia's largest private bank; Novatek, Russia's largest independent natural-gas producer; and Vnesheconombank, a development lender," reported BI's Brett Logiurato.
"From the West's perspective they could not have chosen a better time to intensify sanctions," said Societe Generale strategist Regis Chatellier. "Until a few weeks back Russia was in a position of relative strength because there was massive pressure on oil but that is not the case any more."
The sanctions don't appear to be having a major impact elsewhere. In Asia, Japan's Nikkei and Hong Kong's Hang Seng closed essentially unchanged.
Markets in Europe are down, with Britain's FTSE 100 down 0.3%, France's CAC 40 down 0.4%, and Germany's DAX down 0.3%.