<PAGE>   1
                                                                    EXHIBIT 10.6

                             SHAREHOLDERS AGREEMENT

                  THIS SHAREHOLDERS AGREEMENT (the "Agreement") is made and
entered into as of May 11, 2001 by and among Golden Telecom, Inc., a Delaware
corporation (the "Company"), Global TeleSystems Europe Holdings B.V. (as the
assignee of Global TeleSystems Europe B.V., which is the assignee of Global
TeleSystems, Inc.), a company organized and registered under the laws of the
Netherlands ("GTS"), Alfa Telecom Limited (as the assignee of Alfa Bank Holdings
Limited), a company incorporated in the British Virgin Islands ("Alfa"), Capital
International Global Emerging Markets Private Equity Fund, L.P., a Delaware
limited partnership ("CIG"), and Cavendish Nominees Limited, a limited liability
company organized and registered under the laws of Guernsey ("Cavendish"), and
First NIS Regional Fund SICAV, a private institutional fund organized and
registered under the laws of Luxembourg (together with Cavendish, "Barings")
(each of Alfa, CIG and Barings, an "Investor").

                                    RECITALS

                  A. GTS has sold an aggregate of 12,195,122 shares of the
Company's Common Stock (as defined herein) in a private placement to the
Investors pursuant to a Share Purchase Agreement dated April 2, 2001 (the
"Purchase Agreement").

                  B. In order to induce Alfa, CIG and Barings to enter into the
Purchase Agreement, GTS has granted each of them an option (an "Option") to
purchase additional Shares (as defined herein) of the Company.

                  C. Pursuant to the terms hereof and certain instruments
executed and delivered by the parties concurrently with the execution and
delivery of this Agreement, the parties intend to terminate the effectiveness of
(1) all of the provisions of that certain Shareholders Agreement dated as of
October 5, 1999 between GTS and the Company (the "Seller Shareholders
Agreement") and (2) the provisions in Sections 9, 10, 11 and 13 of that certain
Shareholders and Registration Rights Agreement dated as of December 24, 1999, by
and among the Company, GTS and CIG (the "CIG Shareholders and Registration
Rights Agreement"), and the parties desire to supersede and replace such
provisions with those set forth herein.

                  D. The Investors desire to set forth the terms and conditions
of certain agreements between them regarding certain rights and restrictions
with respect to the Shares and the management of the Company, and the Company is
willing to be a party to this Agreement to facilitate such agreements.

                  E. In consideration of the premises and the mutual agreements
contained herein, the parties hereby agree as follows:


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         AGREEMENT

         1.       DEFINITIONS

                  As used in this Agreement, the following capitalized terms
shall have the following meanings:

                  "COMMON STOCK" means shares of the Company's common stock, par
value $.01 per share, as the same may be constituted from time to time.

                  "DIRECTOR" means a member of the Board of Directors of the
Company.

                  "NOTE" means that certain promissory note in principal amount
of U.S.$55,000,000 issued by Alfa as partial consideration for the shares
purchased by Alfa pursuant to the Purchase Agreement.

                  "ORIGINAL SHARES" means the shares of Common Stock purchased
by the Investors pursuant to the Purchase Agreement and issued or issuable upon
the exercise of outstanding Options.

                  "PERMITTED TRANSFEREE" of a Person shall mean any other Person
controlled by, under common control with or in control of such Person and
notwithstanding the foregoing, in the case of Cavendish shall also include each
of the following: Baring Vostok Private Equity Fund, L.P.1, Baring Vostok
Private Equity Fund, L.P.2, Baring Vostok Private Equity Fund L.P.3, the NIS
Restructuring Facility and First NIS Regional Fund SICAV.

                  "PERSON" means an individual, partnership, corporation, trust
or unincorporated organization, or a government or agency or political
subdivision thereof.

                  "PRO RATA PORTION" with respect to an Investor means a
fraction, the numerator of which is the total number of Original Shares of such
Investor and the denominator of which is the total number of Original Shares of
all Investors.

                  "SHARES" means shares of Common Stock of the Company, any
securities issued or issuable with respect to such shares of Common Stock by way
of a stock dividend or stock split or in connection with a combination of
shares, recapitalization, merger, consolidation or other reorganization, and any
other equity interests or any options, warrants or other securities that are
directly or indirectly convertible into, or exercisable or exchangeable for,
Common Stock.

                  "TRANSFER" means any transfer, in whole or in part, by sale,
pledge, assignment, grant or other means, including, without limitation, by the
grant of an option, of Shares.

                  "THIRD PARTY" shall mean any Person other than a Permitted
Transferee.

         2.       TAG-ALONG RIGHTS

                  (a) Alfa shall not, in any one transaction or any series of
related transactions, Transfer Shares to any Third Party, who will own, directly
or through affiliates,

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not less than 9,791,999 Shares (such number to be appropriately adjusted for
Share repurchases, stock splits, stock dividends, reorganizations,
recapitalizations and other similar transactions) immediately after such
purchase (a "Third Party Offer"), unless the terms and conditions of the Third
Party Offer include an offer, at the same price and on the same terms as the
Transfer by Alfa, to include, at the option of CIG and/or Barings, in the sale
or other disposition to the Third Party, a number of Shares owned by CIG and/or
Barings determined in accordance with this Section 2.

                  (b) Alfa shall cause the Third Party Offer to be reduced to
writing (which writing shall include an offer to purchase or otherwise acquire
Shares from CIG and Barings as provided in this Section 2) and shall send
written notice of the Third Party Offer together with a copy of the Third Party
Offer (the "Inclusion Notice") to CIG and Barings in the manner set forth in
Section 9(d) hereof. At any time within 15 calendar days after delivery of the
Inclusion Notice, CIG and Barings may accept the offer included in the Inclusion
Notice and by furnishing written notice of acceptance to Alfa.

                  (c) Each of CIG and Barings shall have the right (an
"Inclusion Right") to sell pursuant to the Third Party Offer a number of its
Shares, not to exceed the number of its Original Shares, equal to the product of
(x) its Pro Rata Portion and (y) the total number of Shares covered by the Third
Party Offer.

                  (d) The consideration payable per Share to be Transferred by
CIG and Barings in such sale or other disposition shall be the same in all
respects as the consideration payable to Alfa per Share so Transferred by Alfa.

                  (e) This Section 2 does not apply if Alfa Transfers Shares to
an internationally recognized financial institution, a telecommunications
company with market capitalization in excess of $1 billion or an international
investment fund with a majority of capital provided by reputable institutional
or governmental shareholders.

         3.       NOMINATION AND REMOVAL OF DIRECTORS

                  (a) The Company and each Investor agree that so long as the
voting agreement set forth in this Section 3 remains in effect, each of them
shall take all action necessary from time to time (including, without
limitation, the voting of shares, execution of written consents, the calling of
special meetings, the removal of directors, the filling of vacancies on the
Board, the waiving of notice and attendance at meetings, the amendment of the
Company's by-laws and the like) necessary to maintain the membership on the
Board as follows:

                  (i)     subject to paragraphs (f) and (h) below, three
                          directors shall be designated by Alfa (the "Alfa
                          Directors") and an additional fourth director may be
                          designated by Alfa, if CIG and Barings agree to such
                          designation, as set forth in clause (iv) or clause
                          (vi) below;

                  (ii)    one director shall be designated by CIG (the "CIG
                          Director");

                  (iii)   one director shall be designated by Barings (the
                          "Barings Directors");

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                  (iv)    in accordance with paragraph (d) below, one director
                          shall be designated by GTS (the "GTS Director") or one
                          director shall be designated jointly by Alfa, CIG and
                          Barings (the "Jointly Designated GTS Replacement
                          Director");

                  (v)     such additional directors designated by GTS, if any,
                          as may be required pursuant to paragraph (f) below;
                          and

                  (vi)    in accordance with paragraph (g) below, one director
                          in addition to the Jointly Designated GTS Replacement
                          Director may be designated jointly by Alfa, CIG and
                          Barings;

provided, however, in no event during the term hereof will the total number of
Alfa Directors and/or other Persons who are directors, officers, employees,
shareholders or affiliates of Alfa or any of its affiliates exceed four.

                  (b) If any Investor (the "Affected Investor") gives notice at
any time to the Company and the other Investors that any individual then serving
as a director of the Company designated by the Affected Investor is no longer
the Affected Investor's designee, then the Affected Investor, the Company and
the other Investors shall take all such actions as are necessary to remove the
director so designated.

                  (c) If a director designated by an Affected Investor dies,
resigns or is removed as a director of the Company pursuant to Section 3(b)
above, then the Affected Investor, the Company and the other Investors shall
take such action as is necessary to elect as a director of the Company an
individual subsequently designated by the Affected Investor.

                  (d) GTS agrees to cause its remaining designee to resign at
the first to occur of (each, a "Resignation Event"): (i) such time as the
aggregate cash consideration paid to GTS for purchases of Shares pursuant to the
Purchase Agreement and upon the exercise of Options shall equal at least
$150,000,000 and (ii) such time as GTS shall own shares of Common Stock
aggregating fewer than 4% of all of the issued and outstanding shares of Common
Stock. From and after the date on which a Resignation Event occurs, Alfa, CIG
and Barings shall have the right to jointly designate the Jointly Designated GTS
Replacement Director.

                  (e) If the Jointly Designated GTS Replacement Director dies,
resigns or is removed as a director of the Company pursuant to Section 3(b)
above, then the Company and the Investors shall take such action as is necessary
to elect as a director of the Company any individual subsequently jointly
designated by Alfa, CIG and Barings as a replacement therefor.

                  (f) If any "Event of Default" (as defined therein) shall occur
under the Note, then Alfa shall cause the directors designated by it to resign
immediately and GTS shall have the right to designate such number of directors
as shall constitute a majority of the Board of Directors, who shall also be
deemed to be GTS Directors hereunder. The Investors and the Company shall take
such action as may be reasonably required to permit GTS to exercise such right
(including without limitation maintaining at least one vacancy on the Board of
Directors until payment in full of the Note, such that GTS would be able to


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designate a number of directors as would constitute a majority of the Board of
Directors without increasing the size of the Board of Directors).

                  (g) If a vacancy shall arise on the Board other than such
vacancy as would be filled by the Jointly Designated GTS Replacement Director or
pursuant to Section 3(d) above, Alfa may propose a Person to fill the vacancy
and if each of CIG and Barings approve such Person, Alfa, CIG and Barings shall
use their reasonable best efforts to effect the appointment of such Person to
the Board and to vote for his or her election at any subsequent meeting of
stockholders held or other action taken for such purpose.

                  (h) From and after such time as Alfa shall own shares of
Common Stock aggregating fewer than 15% of all of the issued and outstanding
shares of Common Stock, the number of Alfa Directors shall be reduced to two and
Alfa shall cause one of the Alfa Directors to resign if there are more than
three such directors serving on the Board.

         4.       ASSIGNMENT AND TRANSFER OF GTS REGISTRATION RIGHTS AGREEMENT

                  (a) In order to induce Alfa to enter into the Purchase
Agreement and the transactions contemplated thereby, GTS hereby irrevocably and
unconditionally assigns and absolutely transfers to Alfa, with effect from the
Closing Date, and with respect to all of Alfa's Original Shares, all of GTS's
present and future rights, title and interest in and under the Registration
Rights Agreement, dated as of October 5, 1999 (the "GTS Registration Rights
Agreement") by and between GTS and the Company (the "Assignment").

                  (b) The Company hereby acknowledges and consents in all
respects to the Assignment and confirms the availability of three Demand
Registration rights thereunder (as such term is defined therein).

                  (c) Alfa shall not be liable to GTS, the Company or any of
their successors, assigns, affiliates, directors, officers, stockholders, agents
or representatives for any losses, liabilities (contingent or otherwise),
damages, and expenses of any nature or kind in connection with the GTS
Registration Rights Agreement that have or may have occurred prior to the date
of the Assignment.

                  (d) Subject to Section 3(c) above, to the extent of its
interests therein Alfa agrees to be bound by the terms of the GTS Registration
Rights Agreement as if signatory thereto.

                  (e) The Company hereby acknowledges and agrees that (i) Alfa
shall have the benefit of all rights contained in the GTS Registration Rights
Agreement, including, without limitation, the registration rights contained in
Sections 3, 4 and 5 of the GTS Registration Rights Agreement with respect to all
of Alfa's Original Shares and (ii) GTS shall have the benefit of all rights
contained in Section 5 of the GTS Registration Rights Agreement with respect to
GTS's remaining 2,861,206 shares of Common Stock.

         5.       NO CONFIDENTIAL AGREEMENTS

                  Each Investor and GTS agrees that it has not, as of the date
hereof, and will not from and after the date hereof enter into any agreements,
arrangements or understandings with (i) any other Investor or GTS, as
applicable, insofar as concerns the Company, its

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management or any Shares or (ii) with the Company, its affiliates or management
without giving prior written notice to the Company, the other Investors and GTS,
as applicable, disclosing all material terms thereof.

         6.       CONTINGENT CALL EXERCISE

                  In the event that Alfa delivers to GTS a Contingent Call
Notice (as defined in the Stock Option Agreement dated as of May 11, 2001
between Alfa Telecom Limited and Global TeleSystems, Inc.), CIG and Barings
shall have the right to purchase Shares purchased by Alfa thereunder at the same
price on a pro rata basis, based on its respective Pro Rata Portion. Alfa and
GTS shall take all such actions necessary to permit such a purchase by CIG
and/or Barings.

         7.       TERMINATION

                  This Agreement shall terminate on the later of (x) the second
anniversary of the date of the Closing (as defined in the Purchase Agreement)
and (y) the date of the annual meeting of shareholders of the Company held in
calendar year 2003. If earlier, this Agreement will terminate as to any Investor
when it ceases to hold at least 1.5% of the outstanding Common Stock of the
Company; provided, however, that Section 2 of this Agreement shall terminate
earlier as to Barings or CIG, as the case may be, when it ceases to hold at
least 2.5% of the outstanding Common Stock of the Company.

         8.       AFFILIATE STATUS

                  At the date of this Agreement, Alfa represents and warrants
that it is an affiliate of (being under common control with) OAO Alfa Bank, a
Russian open joint stock company.

         9.       MISCELLANEOUS

                  (a) Remedies. Each party shall be entitled to exercise all
rights provided herein or granted by law, including recovery of damages, and
each party hereto will be entitled to specific performance of their rights under
this Agreement. Each of the Company, GTS and the Investors agree that monetary
damages would not be adequate compensation for any loss incurred by reason of a
breach by it of the provisions of this Agreement and hereby agrees to waive the
defense in any action for specific performance that a remedy at law would be
adequate.

                  (b) No Inconsistent Agreements. The Company will not on or
after the date of this Agreement enter into any agreement with respect to its
securities which is inconsistent with the rights granted to the Investors in
this Agreement or otherwise conflicts with the provisions hereof.

                  (c) Amendments and Waivers. The provisions of this Agreement,
including the provisions of this sentence, may not be amended, modified or
supplemented, and waivers or consents to departures from the provisions hereof
may not be given unless the Company has obtained the written consent of each
Investor.


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                  (d) Notices. All notices, requests, demands and other
communications provided for by this Agreement shall be in writing (including
telecopier or similar writing) and shall be deemed to have been given at the
time when mailed in any general or branch office of the United States Postal
Service, enclosed in a registered or certified postpaid envelope, or sent by
Federal Express or other similar overnight courier service, addressed to the
address of the parties stated below or to such changed address as such party may
have fixed by notice or, if given by telecopier, when such telecopy is
transmitted and the appropriate answerback is received.

                  (i)     If to Alfa:

                          Alfa Telecom Limited
                          P.O. Box 3339
                          Geneva Place
                          2nd Floor
                          333 Waterfront Drive
                          Road Town
                          Tortola, British Virgin Islands

                          Facsimile No.:
                          Attention:  Pavel Nazarian

                          with a copy to:

                          Akin, Gump, Strauss, Hauer & Feld L.L.P.
                          Robert S. Strauss Building
                          1333 New Hampshire Avenue N.W.
                          Washington, D.C.  20036
                          Facsimile No.:  (202) 887-4288
                          Attention:  Vladimir Lechtman

                  (ii)    If to CIG:

                          c/o Capital International Global Emerging Markets
                          Private Equity Fund, L.P.
                          135 South State College Boulevard
                          Brea CA 90071-1447

                          Facsimile No.: +1 (714) 671-7080
                          Attention: Jim Brown

                          with a copy to:

                          Capital International Limited
                          25 Bedford Street
                          London WC2E 9HN

                          Facsimile No.: +44 (20) 7864-5768
                          Attention: Ida Levine

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                          and to:

                          Capital Research International Inc.
                          25 Bedford Street
                          London WC2E 9HN

                          Facsimile No.: +44 (20) 7864 5814
                          Attention: Ashley Dunster

                          and to:

                          Fried, Frank, Harris, Shriver & Jacobson
                          99 City Road
                          London
                          EC1Y 1AX

                          Facsimile No.: +44 (20) 7972 9602
                          Attention: Karen Wiedemann

                  (iii)   If to Cavendish Nominees Limited:

                          c/o International Private Equity Services
                          13-15 Victoria Road PO Box 431
                          St. Peter Port
                          GY1 3ZD, Guernsey

                          Facsimile No.:  44 (0) 1481 715 219
                          Attention:  Mrs. Connie Helyar

                          with a copy to:

                          Baring Vostok Capital Partners
                          10 Uspenski Pereulok
                          103006 Moscow, Russia

                          Facsimile No.: 7095 967 1308
                          Attention: Michael Calvey

                          and to:

                          Fried, Frank, Harris, Shriver & Jacobson
                          99 City Road
                          London
                          EC1Y 1AX

                          Facsimile No.: +44 (20) 7972 9602
                          Attention: Karen Wiedemann



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<PAGE>   9


                  (iv)    If to First NIS Regional Fund SICAV:

                          c/o Bank of Bermuda Luxembourg
                          13 Rue Goethe
                          L-1637, Luxembourg

                          Facsimile No.:  +35 2 40 46 46 595
                          Attention:  Christine Tourney

                          with a copy to:

                          Baring Vostok Capital Partners
                          10 Uspenski Pereulok
                          103006 Moscow, Russia

                          Facsimile No.: 7095 967 1308
                          Attention: Michael Calvey

                          and to:

                          Fried, Frank, Harris, Shriver & Jacobson
                          99 City Road
                          London
                          EC1Y 1AX

                          Facsimile No.: +44 (20) 7972 9602
                          Attention: Karen Wiedemann

                  (v)     If to the Company:

                          Golden Telecom, Inc.
                          c/o Golden Teleservices, Inc.
                          4121 Wilson Boulevard
                          8th Floor Arlington, VA 22203

                          Facsimile No.: +1 (703) 236-3101
                          Attention: General Counsel

                  (vi)    If to GTS:

                          Global TeleSystems Europe Holdings B.V.
                          Avioport
                          Evert van de Beekstraat 314
                          1118 CX Schiphol Airpot
                          Netherlands
                          Facsimile No.:  +31 20 800 66 02
                          Attn: General Counsel

                          with a copy to:

                          Global TeleSystems, Inc.
                          151 Shaftesbury Avenue
                          London WC2H 8AL
                          United Kingdom
                          Facsimile No.:  +44 (0)20 7655 5437
                          Attn:  General Counsel


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                   (e) Assignment. Except upon transfers of Shares subject
hereto to Permitted Transferees which agree to accept such Shares subject to the
terms hereof and to be bound hereby, no party shall assign or transfer any of
its rights under this Agreement without the prior written consent of the other
parties.

                  (f) Governing Law. This Agreement shall be governed by the
laws of the State of New York. The jurisdiction and venue in any action brought
by any party hereto pursuant to this Agreement shall lie exclusively in any
federal or state court located in the City of New York, New York. The parties
irrevocably agree that venue would be proper in any such court, and hereby waive
any objection that any such court is an improper or inconvenient forum for the
resolution of such action. The parties agree that a final judgment in any such
action or proceeding shall be conclusive and may be enforced in other
jurisdiction by suit on the judgment or in any other manner provided by
applicable law.

                  (g) Entire Agreement. This Agreement, together with any other
agreements between the parties (including without limitation the GTS
Registration Rights Agreement), constitutes the entire understanding between the
parties and supersedes all proposals, commitments, writings, negotiations and
understandings, oral and written, and all other communications between the
parties relating to the subject matter of this Agreement and all prior
agreements, including, all the provisions of the Seller Shareholders Agreement
and the provisions in Sections 9, 10, 11 and 13 of the CIG Shareholders and
Registration Rights Agreement.

                  (h) Counterparts. This Agreement may be executed in several
counterparts, each of which shall be deemed an original, but all of which
together shall constitute one and the same document.

                  (i) Severability. Should any part, term or condition hereof be
declared illegal or unenforceable or in conflict with any other law, the
validity of the remaining portions or provisions of this Agreement shall not be
affected thereby, and the illegal or unenforceable portions of this Agreement
shall be and hereby are redrafted to conform with applicable law, while leaving
the remaining portions of this Agreement intact.

                  (j) Force Majeure. No party shall be deemed to have breached
this Agreement or be held liable for any failure or delay in the performance of
all or any portion of its obligations under this Agreement if prevented from
doing so by a cause or causes beyond its control. Without limiting the
generality of the foregoing, such causes include acts of God or the public
enemy, fires, floods, storms, earthquakes, riots, strikes, lock-outs, wars and
war-operations, restraints of government power or communication line failure or
other circumstances beyond such party's control, or by reason of the judgment,
ruling or order of any court or agency of competent jurisdiction or change of
law or regulation subsequent to the execution of this Agreement.


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<PAGE>   11


                  (k) Successors and Assigns. Subject to the provisions of
Section 8(e), this Agreement is solely for the benefit of the parties and their
respective permitted successors and assigns. Nothing herein shall be construed
to provide any rights to any other entity or individual.

                  (l) Headings. Section headings are for convenience only and do
not control or affect the meaning or interpretation of any terms or provisions
of this Agreement.

                  (m) Attorneys' Fees. In any action or proceeding brought to
enforce any provision of this Agreement, or where any provision hereof or
thereof is validly asserted as a defense, the successful party shall be entitled
to recover reasonable attorneys, fees in addition to any other available remedy.


                            [signature page follows]




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<PAGE>   12


                  IN WITNESS WHEREOF, the parties have executed this Agreement
as of the date first written above. ALFA TELECOM LIMITED

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:

                                  CAPITAL INTERNATIONAL GLOBAL EMERGING MARKETS
                                     PRIVATE EQUITY FUND, L.P.

                                  By CAPITAL INTERNATIONAL INC., General Partner

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:

                                  CAVENDISH NOMINEES LIMITED

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:


                                  FIRST NIS REGIONAL FUND SICAV

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:

                                  GOLDEN TELECOM, INC.

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:

                                  GLOBAL TELESYSTEMS EUROPE HOLDINGS B.V.

                                  By:
                                    -----------------------------------------
                                    Name:
                                    Title:





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