The rouble dropped to its lowest in more than two months on Tuesday amid expectations Russia will soon be hit by more sanctions.
Emerging-market stocks climbed to three-year highs on a rally in Chinese stocks.
US President Barack Obama and European leaders agreed on Monday to impose a wider set of sanctions against Russia's financial, defence and energy sectors in retaliation for its involvement in Ukraine.
“The only things driving the market are all the stories surrounding sanctions, which are obviously weighing on market sentiment,” said Murat Toprak, an emerging markets strategist at HSBC.
The rouble hit a 10-week low against its euro-dollar basket and was trading at its lowest since early May against the dollar.
Central European currencies also slipped on concern wider European Union sanctions against Russia will hurt the region's companies and economies.
Moscow's dollar-denominated RTS index fell 0.2 percent to its lowest in nearly three months, but its rouble-traded MICEX was up nearly 0.3 percent, following steep losses in recent days.
Russian sovereign and corporate bonds were also down.
Gazprombank and Sberbank's recent euro-denominated bonds dropped 0.7 point and 1 point respectively.
They have lost 9 points since launch a few weeks ago.
Russian five-year credit default swaps rose to 229 basis points, up 4 bps from Monday's close and their highest since mid-May, according to Markit.
The MSCI emerging stock index reached a three-year high before a two-day Federal Reserve meeting ends on Wednesday and US GDP data and non-farm jobs figures come out later in the week.
Investors still expect US interest rates will remain low, driving demand for higher-yielding emerging-market assets.
Chinese stocks hit their highest this year after recent encouraging data and growth-friendly policies.
South Africa's all-share index climbed to a record high of 52,258, up 0.5 percent.
The gains were led by Naspers after the e-commerce firm's Chinese moneymaker won approval to set up a bank.
But analysts cautioned the recent emerging-market rally may run out of steam.
“I think we will come off the highs soon and volatility will continue,” Luis Costa, emerging-markets strategist at Citi said.
“Equities are not the clear-cut investments they were a year ago.”
The rand was down 0.4 percent, its weakest in four days, before key trade data later this week and despite an end to a month-long strike in the metals sector.
The Israeli shekel fell 0.2 percent to a five-week low after the country unexpectedly cut interest rates for the first time in five months on Monday - by a quarter point to 0.5 percent - taking advantage of low inflation to contain economic damage from the conflict in Gaza.
Meanwhile, Argentina is expected to meet the US mediator in its battle with 'holdout' debt investors, who are suing the country for last-minute talks to avert a second default this century, but hopes for a deal are fading fast.
The country's US-denominated discount bonds due in 2033 fell 0.75 cents on the dollar to 83 and five-year credit default swaps rose 27 basis points to 1,899 bps, their highest since mid-June, according to Markit.
Turkish markets remained closed on Tuesday. - Reuters