Russian Equity Market Research Articles

Эффекты неликвидности на российском рынке акций

This work examines the impact of expected and unexpected illiquidity of Russian stockstraded on the Moscow Exchange on their ex ante and simultaneous excess returns. Following quantitative predictions of the market microstructure invariance hypothesis, I calculate the ex­pected ruble costs of executing a bet in the Russian stock market. This estimate is used to compute the invariance-implied low-frequency illiquidity measure for individual stocks. The expec­ted market illiquidity is estimated by a first-order autoregressive model, and the surprise illiquidity is the residuals from this model. We use two weighting methods (equal-weighting and value-wei­ghting) to calculate market returns, market illiquidity, as well as returns on size-based portfolios. According to the empirical analysis over the period from January 2010 to December 2020, the market premium for expected illiquidity in the Russian equity market was insignificant in most specifications, unlike the effect of unexpected market illiquidity. The negative effect of market illiquidity shocks on market returns is insignificant only in the case of using equal-weighted procedure over the period from January 2010 to June 2015. The weak form of the hypothesis that illiquidity effects are stronger for small-cap stocks is confirmed only in the case of using equal-weighting method over the period from July 2015 to December 2020.

Russian Equity Market in 2021 and Early in 2022

Russian Equity Market in 2021 and Early in 2022

Announcements of Sanctions and the Russian Equity Market: An Event Study Approach

The research question raised in this paper is an investigation of the effect of the announcement of US and EU sanctions on the stock returns of the targeted companies listed on the Moscow Exchange. The strategy for identification is based on firm-specific and multivariate short-term event studies. Firm-specific event study of eight sanctions that targeted 14 entities at different times results in a statistically significant ?5.4% estimate of the expected cumulative abnormal return within a window of seven trading days.

Russia’s Financial Market 2018: Investment Risks

The Russian equity market in 2018 came to be more profitable and stable than many other emerging markets, but it continued to lag behind competitors in terms of returns to investors and investment risk indicators. There were more problems that came from non-residents outflow.

Factor Analysis of the Russian Stock Market

A quarter of a century after the first Russian joint stock companies were set up, the Russian equity market has become the leading market in Eastern and Central Europe. Russia has a state of the art trading and settlement system, with the Moscow Exchange (MOEX) being its centerpiece. The Russian joint stock companies successfully introduce the best practices of corporate governance. The accounting system is becoming more and more adequate and transparent. However, in the last decade the Russian stock market has demonstrated one of the worst returns in the world among the 20 largest economies. Judged by the main indicators (P/E, P/B, Dividend Yield) the Russian market looks very much undervalued. The authors analyze the causes of this situation, define the factors which impact most the Russian stock market (the ownership structure, volatility, dividend policy, the role of foreign investors, correlation with oil prices) and make the conclusion that the most important factor has been the sanctions imposed upon the largest Russian companies after 2014.

PROSPECTS FOR PROJECT FINANCE IN THE INFRASTRUCTURE PROJECTS

This paper examines key characteristics of infrastructure projects and the challenges that involves its funding today. Author analyzes the regulatory and economic prerequisites for using project financing of infrastructure on the Russian equity market. We consider the funding of infrastructure projects through the bond loan scheme, the possibilities and limitations of its practical usage. In particular, paper describes form of securitization through issuing bonds secured by the pledge of claims that will arise as a result of long-term investment project.

Russian stock market in the aftermath of the Ukrainian crisis

This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic goodness-of-fit and bootstrapped regression approaches to study the behavior of global equity indices. Our results reveal a significant fall in the degree of synchronicity between the Russian and global equity returns after the crisis outbreak. The Russian stock market clearly decoupled from both developed and emerging markets, as shown by a 30–50% decline in returns correlation. In view of dramatic increase in synchronicity across the Russian sectoral stock indices after the sanctions were introduced, our results suggest that the economic sanctions imposed on Russia during that period have effectively isolated the Russian equity market from the rest of the world and triggered extensive portfolio outflows from the Russian market. As a result of the economic sanctions and the limited choice of investments in Russia, the decreased co-movement between the Russian and global equity returns is unlikely to provide investors with superior diversification opportunities, whilst the returns of the Russian market in the medium-term will likely continue to be predominately driven by idiosyncratic news.

Do More Transparency & Disclosure Necessarily Enhance Firm Performance?

Prior literature posits that corporate governance reforms usually boost firm’s operating performance as well as market’s valuation. In this paper we show differential effect of corporate governance (henceforth, CG) reform on firm’s operating performance (e.g., EBIT/Asset) and firm’s market valuation (e.g., Tobin’s Q). In the context of Russian transparency and disclosure reform (henceforth, T&D reform) initiated by the Russian government in 2002, we find convincing evidence that these regulatory changes although had weak effects on firms’ market value ‐ had a pronounced negative impact on accountingbased measures of firm performance. We argue that this evidence suggests that pre-reform operating performance measures in Russia ‐ performance measures that are exposed to managerial discretion ‐ were largely “inflated” numbers. More importantly, our finding suggests that the Russian equity market was fully aware of this inflation. Consequently, Russian equity markets did not negatively react to sharp drop in operating performance of these companies. Further, a very weak effect on Tobin’s Q suggests that Russian T&D reform did not do enough to alleviate agency conflicts that could have potentially lead to significant increase in firm value.

Modeling Long Memory In The Russian Stock Market: Evidence From Major Sectoral Indices

<p>This paper studies the market efficiency of modern Russian stock market. In particular, we look at the long memory in stock market volatility in the Russian financial market. To examine the temporal dependencies in depth we utilize major sectors of the Russian stock market. We take a GARCH modeling approach. Specifically, we estimate a FIGARCH model proposed by Baillie et al. (1996) using daily returns. We find evidence of long memory in all sectors of the Russian equity market, implying that, all the market sectors under investigation are weak form inefficient. Our results show that the volatility has a predictable structure in all the sectors of modern Russian stock market, signifying the need of regulatory and economic reforms within the Russian financial system.</p>

Financial Markets and Financial Institutions in 2011

This paper deals with the Russian financial markets and financial institutions. The author focuses on post crisis recovery, Russian equity market. The issue of capital outflow and operating risks of the stock market were analyzed by the author.

Russian equity market in the system of the emerging markets

The article discusses investment activity of joint stock companies on the domestic and foreign capital markets and the role of emerging markets in the investment process.

Government intervention in Russian bourse: a case of financial contagion

PurposeIn September‐October 2008 the Russian stock markets came under severe strain amidst the global financial crisis. During this time the Russian government intervened several times to halt the trade to impede the continuous slide. The government justified its actions owing to the argument that the crisis was due to a trickledown effect from the financial crisis in the USA and the other developed markets. The purpose of this paper is to put to test the government's claim by exploring the level of integration between Russia and the USA and European equity markets.Design/methodology/approachThe study employs Markov Regime Switching Model for tracking structural breaks in the time series. This method divides the data into three periods, i.e. pre crisis, during crisis and post crisis. Next the Multivariate GARCH‐DCC model technique is used to establish the time varying linkages in order to verify the contagion effect. In the final step the Markowitz mean‐variance framework is used to position each individual index portfolio with respect to the efficient frontier to analyze the impact of crisis as well as Russian government intervention.FindingsThe findings suggest that the Russian equity market is weakly integrated with US and strongly integrated with European markets. The results correspond to the underlying financial and economic linkages between Russia, the US and Europe. When examined in a portfolio setup, the results show sudden fall in correlation among the Russian, US and European equity markets suggesting weak linkages among these markets. Finally, the Markowitz Efficient frontier indicates dramatic rise in volatility on the day intervention began and ended which signifies the increased uncertainty among the investors owing to Russian government ad hoc interventions.Originality/valueThe paper attempts to examine the Russian government intervention in the backdrop of financial crisis 2008 and concludes that the government intervention essentially increased the uncertainty in the local as well as international markets. Therefore, it is essential that the government should avoid direct intervention in its stock market.

Time-varying global and local sources of market and currency risks in Russian stock market

In this paper we study international asset pricing models and the pricing of global and local market risks as well as currency risk in the Russian stock market from an international investors' point of view using weekly data from 1999 to 2009. In our empirical specification, we utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). We find currency risk to be priced in the Russian market. The price of currency risk is found to be time-varying and affected for example by the price of oil. Moreover, our results suggest that the Russian market is partially segmented and the local market risk is priced in the market. Our model implies in-sample risk premium for the Russian equity market that is, on average, almost ten times higher than that of the US and that the Russian risk premium is on average caused mostly by the local and currency risk components.

International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH–BEKK model proposed by Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized ARCH. Economet. Theor. 11, 122–150]. We find evidence of direct linkage between the Russian equity market with regards to returns and volatility, while the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market. At the time of the crisis, evidence of contagion is clear.

Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests

This paper examines the relationships between Russian and other equity markets over the period of 1995–2004. To account for potential instability in the market relationships we apply a number of cointegration approaches: Gregory–Hansen [1996. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 70, 99–126] test, which allows for a structural break in the relationships, a stochastic cointegration framework by McCabe [2003. Testing for Stochastic Cointegration and Evidence for Present Value Models. Working Paper], the non-parametric test by Breitung [2002. Nonparametric tests for unit roots and cointegration. Journal of Econometrics 108(2), 343–363] and a regime-switching cointegration model in the spirit of Ho [1999. Financial liberalization and international capital mobility of Taiwan: a regime-switching approach. Asian Economic Journal 13(4), 407–417]. The tests point to a significant agreement that the Russian equity market remained isolated from the influence by international markets in the long run and that while a structural break might have occurred in August 1998 this did not alter the nature of long-run relationships.

International Linkage of the Russian Market and the Russian Financial Crisis: A Multivariate GARCH Analysis

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear.

Russian Equity Market Linkages Before and After the 1998 Crisis: Evidence from Time-Varying and Stochastic Cointegration Tests

This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period. Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including Gregory-Hansen (1996) test, which allows for a structural break in the relationships, as well as the newly developed stochastic cointegration test by Harris, McCabe and Leybourne (2002) and the non-parametric cointegration method of Breitung (2002). The latter tests point to a significant agreement that in the aftermath of the Russian crisis of 1998 there was an increasing degree of comovements of the Russian market with other developed markets, but not with CE developing markets. This result is further confirmed by dynamic conditional correlation modeling, which allows us to investigate graphically the evolution of comovements in the system. The results of detailed cointegration analysis suggest a. that the time-varying nature of equity markets comovements should be explicitly accounted for while modeling long run relationships b. that there is a decline in diversification benefits for foreign investors seeking to invest in Russian equities over the long horizon.

International Linkage of Russian Market and Russian Financial Crisis: A Multivariate Garch Analysis

This study considers the linkage of the Russian equity market to the world market, examin-ing the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity market and the world markets with regards to returns and volatility. While the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market at the time of the crisis, evidence of contagion is clear. Keywords: Multivariate GARCH; Volatility spillovers; Russian Financial crisis; contagion; partial integration JEL Classification: C32, G15.

Integration of Russian Equity Markets with the World Equity Markets - Effects of the Russian Financial Crisis of 1998

Since the breakup of Soviet Union, a market economy has been evolving in the Russian Federation. One of the key components of this emerging market economy is the Russian equity market. Initially foreign investors showed considerable interest in the Russian equity market, but the financial crisis of 1998 considerably altered the foreign investor sentiment towards Russian market. In this paper we look at the integration of the Russian equity market with the world equity markets and investigate the long-term effect of the 1998 financial crisis on this integration process. We use the Russian Trading System (RTS) equity data and Morgan Stanley Capital International (MSCI) world equity index as the proxies for the Russian equity market and world equity markets. We use a simple regression format to test the effect of the financial crisis of 1998 on the overall Russian equity market and also at the individual firm level during the six-year period from September 1995 to August 2001. Results of our analysis indicated that the Russian markets have become less volatile after the financial crisis of 1998. But the financial crisis had statistically significant positive effect on the Russian equity returns. The integration of the Russian equity market with the world equity market increased during the three-year post crisis period. The crisis also had a similar effect on seven of the 23 individual stocks studied.