Russian Stock Exchange Research Articles

The Ministry of Finance and the St. Petersburg Stock Exchange in the Nineteenth and Early Twentieth Centuries

The Ministry of Finance regulated the Russian stock exchange both directly and indirectly, especially during Prime Minister Sergei Witte's 1900–1902 reform.

Guest Editor's Introduction

Between the eighteenth century and the early twentieth, the Russian stock exchange developed from a fledgling institution to an important player in the international financial arena.

Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization

In this paper, we consider MPC for constrained discrete-time systems with stochastic parameters which are assumed to be a set of serially correlated time series. A generalized performance criterion is composed of a weighted sum of a linear combination of the (a) expected value of quadratic forms of state and control vectors, (b) quadratic forms of the expected value of the state vector, and (c) the linear component of the expected value of the state vector. The purpose of the present paper is to design optimal control strategies that are independent of distributional assumptions on the stochastic parameters and subject to hard constraints on the input manipulated variables and to provide a numerically tractable algorithm for practical applications. All expressions are presented in terms of the first- and second-order conditional moments. The results are applied to a problem of investment portfolio optimization with serially correlated returns. We present the numerical modelling results, based on stocks traded on the Russian Stock Exchanges MICEX.

Portfolio Optimization in the Financial Market with Correlated Returns Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an economy. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. Our approach is tested on a set of a real data from Russian Stock Exchange MICEX.

The structure of corporate boards and private benefits of control: Evidence from the Russian stock exchange

This paper revisits the role of board size and composition in corporate governance, employing a measure of private benefits of control (PBC) as an indicator of governance problems in firms. We calculate PBC using the voting premium approach for a sample of dual class stock companies traded on the Russian stock exchange between 1998 and 2009. Using fixed-effects regressions, we find a quadratic relationship between PBC and board size, implying the optimality of medium-sized (about 11 directors) supervisory boards. This result is substantially stronger for PBC than traditional measures of corporate performance. There is also some evidence that director ownership helps to mitigate governance problems. Most remarkably, we find that non-executive/independent directors are associated with larger PBC and thus do not seem to help improve corporate governance. In contrast, regressions with accounting performance measures as dependent variables tend to suggest a positive role of these directors in corporate governance.

The Structure of Corporate Boards and Private Benefits of Control: Evidence from the Russian Stock Exchange

This paper revisits the role of board size and composition in corporate governance using a measure of private benefits of control (PBC) as indicator of governance problems in firms. We calculate PBC using the voting premium approach for a sample of dual class stock companies traded on the Russian stock exchange between 1998 and 2009. Using fixed-effects regressions, we find a quadratic relationship between PBC and board size, implying the optimality of medium-sized (about 11 directors) supervisory boards. This result is substantially stronger for PBC than for traditional measures of corporate performance. There is also some evidence that director ownership helps mitigate governance problems. Most remarkably, we find that non-executive/independent directors are associated with larger PBC and thus do not seem to help improve corporate governance. In contrast, regressions with accounting performance measures as dependent variables tend to suggest a positive role of these directors in corporate governance.

A critical view of Russia's IPO market: a sign of success or a reason for caution?

PurposeThe purpose of this article is to analyze the initial public offerings (IPOs) of Russian companies in the context of the country's investment attractiveness and the readiness of its companies to list on stock exchanges, domestically and/or internationally. The analysis takes a balanced approach. It recognizes the positive aspects from the development of Russia's stock markets and the launched and planned IPOs of Russian companies, but underscores reasons for caution in assessing this developing situation, emphasizing the need to maintain a critical perspective. The article is intended to help determine, in the sphere of IPOs at least, whether Russia is currently, or is on the road to becoming, as solid as a BRIC.Design/methodology/approachDrawing upon publicly available material from English‐ and Russian‐language sources, the authors discuss the development of the two Russian stock exchanges and analyze the progress that Russian companies have made in successfully completing IPOs on Russian and foreign stock exchanges. The paper also analyzes the barriers faced by Russian companies in launching IPOs and/or attracting investment, including global factors, country‐level conditions, and individual firm characteristics.FindingsThe results of the analysis indicate that the Russian stock exchanges have developed reasonably well over the two decades since perestroika. Correspondingly, a substantial number of Russian companies have mounted successful IPOs not only on the Russian stock exchanges but also on international exchanges, particularly the London Stock Exchange. Yet the number of successful IPOs relative to the number of planned IPOs has been much smaller than the global average. The latter finding is attributed to Russia's particular investment problems, which extend beyond global economic forces, specifically the country‐level and firm‐specific factors, both of which heighten the risk for investors.Originality/valueThe authors' review of the literature has uncovered no journal articles covering the circumstances surrounding the IPOs of Russian firms. Additionally, the available sources seldom provide a balanced view, much less a critical view of the IPO landscape in the context of Russia's overall circumstances, particularly risk. Thus, this article, with its critical but balanced perspective, allows for a relatively objective analysis for theorists as well as investors as they approach the topic of Russian company IPOs, domestically or internationally.

Comparing multifractality among Czech, Hungarian and Russian stock exchanges

In this paper, we analyse multifractality among Czech, Hungarian and Russian stock exchanges. For this end we perform a method titled multifractal detrended fluctuation analysis (MF-DFA) to investigate the multifractal properties of PX, BUX and RTS indices. By applying the MF-DFA method we first calculate the generalised Hurst exponents, we then deduce the Renyi exponents as well as the singularity spectrum of these indices. Furthermore, we perform shuffling and surrogate techniques to detect the sources of multifractality. We also compute the contribution of two major sources of multifractality that are long-range temporal correlations and fat-tail distribution. This study shows that the Czech, Hungarian and Russian stock exchanges are neither efficient nor fractals, but they are multifractal markets. By comparing spectrum width of these indices, we also find which index has the richer multifractal feature.

CEO and Board Characteristics as Determinants of Private Benefits of Control: Evidence from the Russian Stock Exchange

This paper investigates whether and how various characteristics of CEOs and corporate boards are related to the severity of corporate governance problems within firms. The latter is proxied by private benefits of control, which we measure for dual class stock firms using the voting premium approach. Our empirical analysis is based on data from Russia and takes advantage of the extreme corporate governance problems in the country, considerable variation in corporate governance practices across firms and over time, and presence of a large and exogenously created (during the process of privatization) group of dual class stock companies. The data are assembled from the RTS, SKRIN and SPARK databases and include over 200 firms observed in 1997-2009, with over 1000 observations in total. Our econometric analysis suggests a quadratic relationship between private benefits of control and CEO ownership with a minimum at about 4% CEO ownership, a positive association between CEO tenure and private benefits, and a quadratic in CEO age with a dip in private benefits at about 52 years of age. There is also a quadratic relationship between private benefits of control and board size, implying the optimality of medium-sized (about 9-10 directors) boards. We find no gender effects on private benefits of control.

Equity Price-Volume Relationship On The Russian Stock Exchange

This paper analyses the stock price?volume relationship of individual equities in the Russian Stock Exchange. Using a vector auto-regression analysis on weekly data, we present a strong evidence of bi-directional relationship between volume and price change. This finding confirms the evidence reported by studies on many developed markets. However, the weak support for the positive price-volume relationship may imply that the differences in institutions and information flows in the Russian Stock Exchange might be important enough to affect the valuation process of their securities. Consequently, investors who based their investment strategies on momentum, have to adjust their strategies when trading on Russian Stock Markets.

Two Russian Stock Exchanges: Analysis of Relationships

Development of Russian financial markets is gradually becoming a subject for standard economic analysis. Accumulated statistics make it possible to pose some questions about features of development and operation of financial markets in Russia. This paper analyses relationships between the two leading Moscow stock exchanges, as well as analysing performance of their indices and trading volumes, and factors determining index changes. The authors are far from thinking that their work is comprehensive or gives final answers to the questions posed. On the contrary, the authors hope that the paper will be a starting point for development of a fruitful scientific discussion of the issues concerned.Russian stock exchanges, their trading volumes and share prices, offer material which makes it possible to search for clear and steady patterns of performance. Although the period of organised stock trading in Russia is quite short, the combined use of monthly, daily and hourly observations allows a variety of questions to be posed. For example, what is the relationship between the performance of the two exchanges as regards indices and trading volumes, and how are those related to international indices and important factors traditionally affecting levels of market activity, such as economic activity in Russia, commodity prices, etc.? One interesting aspect of stock index performance is the slow rate of index growth despite the relatively long‐lasting economic recovery (Figure1).

Tracking Russian business information on the Internet

Notes that the majority of Russian business information sources are in English, most is sponsored by Russian investment companies with advertising aimed at foreign investors, and is therefore easily accessible through the Internet and the Web. Presents a guide to searching for Russian business information via the Internet noting that particular problems likely to be encountered, including ephemeral, fast changing and sometimes unreliable Web sites and links. Suggests selected Web sites as useful starting points for Internet searching and discusses the problems of searching online Russian newspapers and newspaper information services, such as: Izvestia; Russian Press Digest; Daily News Service; Business and Economic Report; Russian Story; St Petersburg Times; and Vladivostok News. Reports ways of searching for company financial data, stocks and bonds, and corporate financial information from the various SKATE services of the Moscow Times Index. Other sources include: brokerage house newsletters; RINACOPlus; Ataman; official financial information (including the Russian Stock Exchange); business legislation (Izvestia’s legal database and the Russian Legal Server). Concludes with an outline of Russian markets and contacts, business directories and telephone directories, guides to exhibitions, trading houses, economic advisers and foreign information sources on Russian business. Points to the potential of the Internet in bringing quality Russian news and business information to desktops around the world.

On the Russian Stock Exchange

It seems reasonable to say that 1993 is a year of development for the Russian stock exchange. We observe a sharp increase in the amount of traded securities, and the appearance of a rather liquid asset — the voucher. As a consequence of the expanded credit market and increased turnover of currency transactions, futures and option contracts came into practice. The development of the security market structure made investment on the stock exchange possible. Despite of rich experience accumulated in developed western economies, its immediate implementation into the Russian stock exchange is impossible not taking into account the features peculiar to developing market relations of the transition period. In this paper, we propose a brief overview of the distinguishing features of the Russian stock exchange. It should be pointed out that this review is not aimed at a development of the complete pattern for the Russian stock market. For instance, the analysis of the debt securities (short-term bonds, bills, notes, and others) as well as the analysis of the money market are not included in this overview. We consider mainly the markets for stocks, currency and some derivative instruments — future contracts.