CORRELATION ANALYSIS OF THE IMPACT OF SANCTIONS ON STOCK AND INDUSTRY INDICES OF COUNTRIES INITIATING SANCTIONS AND COUNTRIES UNDER SANCTIONS

Abstract

This paper presents the analysis and assessment of the impact on financial markets of the consequences of sanctions imposed at the initiative of the United States and the European Union in March 2014. One of the factors for sustainable economic development in the context of imposed sanctions is the stability of financial markets. To assess the consequences of the impact of sanctions on financial markets, we performed a correlation analysis of stock and industry indices of countries initiating sanctions and countries which are subject of sanctions, including Russia. The use of correlation analysis using current data made it possible to determine the presence, direction and strength of the relationship, and to assess the statistical significance of the obtained data in the context of leading stock and industry indices. For a detailed analysis of the impact of sanctions measures, calculations were carried out using a market model for assessing the returns of stock and industry indices, taking into account the leading factor. There is a close connection between the selected industry indices and the majority of industry indices of the countries initiating sanctions and, at the same time, there is a weak connection with the industry indices of countries subject to sanctions, including Russia. The study showed the insignificant effectiveness of the impact of sanctions measures on the Russian financial market. Based on the correlation analysis carried out, further research will allow to assess not only the impact of sanctions on the economies of the countries on which these sanctions are imposed, but also to analyze the reverse effect for the countries initiating the sanctions.