Russian Stock Research Articles

Deformation of volatility curves of the Russian stock market on the example of margined options on futures contracts on the RTS index

We reassess the Russian stock market behavior in terms of the relationship between risk parameters and return on assets in connection with global structural changes in 2022. The subject of this study is volatility curves calculated from quotes of exchange options on RTS index futures. The purpose of the study is to analyze the relationship between volatility curves and the distribution of returns in 2015–2022, to analyze changes in the structure of this relationship in 2022, to assess the applicability of the GARCH model and to develop new investment and hedge strategies on the Russian stock market. The issue of interpreting the dynamics of volatility curves is disputable however, it was theoretically developed in the theory of valuation of derivative financial instruments. As a result of the study, unrelated structures of the distribution of returns and volatility curves for the RTS composite index were found throughout the entire period concerned, regardless of the presence of external shocks. It is concluded that in the Russian stock market, investors prefer protective options rather than speculative ones, despite the negative asymmetry of the distribution of RTS index returns. And despite the greater weight of positive returns in their distribution in each period under consideration, due to the technical features of the functioning of return indicators, the negative asymmetry of the return distribution does not necessarily correlate with growing volatility curves.

Comparative analysis of aggregate and sectoral time-varying market efficiency in the Russian stock market during the COVID-19 outbreak and the Russia–Ukraine conflict (RUC)

PurposeThe primary purpose of this research is to identify and compare the multifractal behavior of different sectors during these crises and analyze their implications on market efficiency.Design/methodology/approachWe used multifractal detrended fluctuation analysis (MF-DFA) to analyze stock returns from various sectors of the Moscow Stock Exchange (MOEX) in between two significant periods. The COVID-19 pandemic (January 1, 2020, to December 31, 2021) and the Russia–Ukraine conflict (RUC) (January 1, 2022, to June 30, 2023). This method witnesses multifractality in financial time series data and tests the persistency and efficiency levels of each sector to provide meaningful insights.FindingsResults showcased persistent multifractal behavior across all sectors in between the COVID-19 pandemic and the RUC, spotting heightened arbitrage opportunities in the MOEX. The pandemic reported a greater speculative behavior, with the telecommunication and oil and gas sectors exhibiting reduced efficiency, recommending abnormal return potential. In contrast, financials and metals and mining sectors displayed increased efficiency, witnessing strong economic performance. Findings may enhance understanding of market dynamics during crises and provide strategic insights for the MOEX’s investors.Practical implicationsUnderstanding the multifractal properties and efficiency of different sectors during crisis periods is of paramount importance for investors and policymakers. The identified arbitrage opportunities and efficiency variations can aid investors in optimizing their investment strategies during such critical market conditions. Policymakers can also leverage these insights to implement measures that bolster economic stability and development during crisis periods.Originality/valueThis research contributes to the existing body of knowledge by providing a comprehensive analysis of multifractal properties and efficiency in the context of the MOEX during two major crises. The application of MF-DFA to sectoral stock returns during these events adds originality to the study. The findings offer valuable implications for practitioners, researchers and policymakers seeking to navigate financial markets during turbulent times and enhance overall market resilience.

Sanctions restrictions as a factor determining the development of regulation of the Russian stock market

The article discusses some issues of sanctions restrictions imposed by the countries of the collective West on the Russian financial market after the start of a special military operation in Ukraine. The article describes the impact of these sanctions on the functioning of the country’s stock market, as well as anti-sanctions measures taken by government agencies. Based on the identified issues, some conclusions and proposals for improving the legal regulation of the stock market in order to ensure the state sovereignty of the country are formulated and substantiated.

서방제재가 러시아 주요기업의 활동에 미친 영향 분석: 25개 상장기업을 중심으로

After the Ukraine crisis in 2014, Russia has been under economic sanctions from the West. Since the outbreak of the Russia-Ukraine war in 2022, Western sanctions are expanding in various sectors, including individuals, organizations, industries, and trade, and are to continued in the long-term. Among various studies on the effectiveness of sanctions, research discussing whether sanctions against specific targets have the intended effect is emerging. Against this background, this study seeks to analyze the impact of Western sanctions on Russian companies, especially those listed on the Russian stock market. Using panel data from 25 major Russian companies from 2012 to 2021, the author examined factors that affected corporate performance, including Western sanctions, with a fixed effects model. As a result, Western sanctions did not have a significant impact on the business activities of major Russian companies. It was found that the macroeconomic and internal company factors were more decisive factors. This study was unable to include data after 2022 due to corporate data accessibility and release period, therefore this needs to be complemented through additional research.

Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments

Quantifying the connectedness across the oil and stock markets is vital for global asset allocation, systemic risk regulation, and prudent policy making. However, existing studies are mostly confined to return (first moment) and volatility (second moment) levels. This paper integrates the GARCHSK model with the TVP-VAR extended joint connectedness approach to examine higher-order moment risk connectedness between international oil and stock markets in both G7 and BRICS countries, thereby encompassing a wide range of global markets. This paper also discusses the impacts of geopolitical risks, acts, and threats on the total spillovers of volatility and higher-order moments based on the wavelet coherence method. Empirical results demonstrate that the risk spillovers between oil and stock markets are moment-dependent with the total kurtosis spillovers being stronger than the volatility and skewness spillovers. WTI, Brent, INE oil futures, and the Chinese and Japanese stock markets are consistent net receivers of spillovers whereas the remaining G7 stock markets are net transmitters. G7 and the Russian stock markets transmit significant net spillovers of higher-order moments to oil futures. The dynamic spillovers of volatility, skewness, and kurtosis are all time-varying and highly sensitive to the outbreak of major crisis events, especially the China-US trade war, the COVID-19 outbreak, and the Russia-Ukraine conflict. Driving factor analysis shows that the impacts of geopolitical risks, acts, and threats on total spillovers vary over time and across various frequency bands. Geopolitical risks strongly impact the total skewness spillovers during the crisis periods. Geopolitical acts exert a stronger influence on total kurtosis spillovers than geopolitical risks or threats. These findings can offer practical implications for cross-market investors, portfolio managers, market regulators, and policymakers.

Application of Copula Models in Stock Market Analysis

Objectives. The objective of the study is to use copula models to analyze shares of the Russian stock market and describe changes in the relationship between the shares before and during the coronavirus infection (COVID-19).Methods. An algorithm for using copulas and functions of the R programming language in its implementation is presented. To model the dynamics of financial series the ARMA-GJR-GARCH process (autoregressive moving average Glosten-Jagannathan-Runkle model with generalized autoregressive conditional heteroskedasticity) is used. The selection of optimal families and parameters of copula models is carried out. The adequacy of the obtained models is checked and the results of the study of the relationship between the series are analyzed.Results. An algorithm has been developed for a relatively new approach to using copulas in conjunction with the ARMA-GJR-GARCH model. The approach was used to study the impact of coronavirus in the context of the Russian economy. It is revealed that during the COVID-19 period the dependence between different stocks increases. It is shown that the effect of volatility in financial series increases after the outbreak of the pandemic.Conclusion. The research algorithm using copula models in conjunction with the ARMA-GJR-GARCH process has shown its feasibility. This approach can be used with other GARCH-type models to study finance and other areas.

Analyzing the potential of the Russian stock market

Subject. The article investigates the Russian stock market. Objectives. The purpose is to determine the potential of the Russian stock market. Methods. The study employs methods of statistical analysis. Results. The study revealed that the potential of the Russian stock market is determined by a number of factors, like significant excess of the volume of shares of non-financial organizations over the total shares of credit institutions, other financial organizations and insurers; maintaining the dynamics of debt obligations of government bodies at the level of the totality of debt obligations of non-financial organizations, credit institutions, other financial organizations and insurers; continuous presence of non-residents in the debt market, in contrast to the short-term presence of the Central Bank of the Russian Federation; the tendency for the growth of ruble-denominated debt of non-financial sector on bank loans and issued debt securities to exceed the extended index; a commensurate increase in the ruble-denominated debt of households and non-profit institutions serving households on bank loans and issued debt securities and the expanded indicator; a vigorous reduction in the excess of the broad money supply over M2, and others. Conclusions. The identified potential of the Russian stock market indicates to the expert community the parameters of the financial market.

Stock Market Participants in the Social Structure of Russian Society in the 18th–20th Centuries

The paper analysis of social transformations affecting broad sections of the population in the progress’s dynamics of the Russian stock market in the 18th–20th centuries. The author examines the historical path of the securities market advancement in Russia. Also, the research states that starting from its inception and ending with the closure of exchanges in the 20th century. The study examined the stock market participants, their social class, goals for entering the market, and the conditions under which they operated. The author also brings up the point of whether social mobility was possible in the 18th — 20th centuries through securities trading?

Volatility Modeling and Spillover: The Turkish and Russian Stock Markets

Volatility Modeling and Spillover: The Turkish and Russian Stock Markets

Evolution of COVID-19 Impact on Russian Stock Market: Panic Effect

Over the past few years, many research papers have referred to stock market volatility in relation to investor attention and sentiment and our article adds to the current literature on financial market reactions to the economic consequences of COVID-19. An event such as an outbreak of an infectious disease causes a negative change in investor sentiment, which strongly influences their investment decisions and, consequently, stock market prices. The subject of the study is the mutual influence of stock market characteristics and market sentiment, during a COVID-19 pandemic crisis. The purpose of the study is to provide empirical support for the hypothesis of indirect impact of uncertainty and panic under the COVID-19 pandemic on the dynamics of the stock market in Russia. The World Health Organization and experts forecast that the world will face more than one crisis related to the spread of infectious diseases in the future, so understanding the mechanisms of mutual influence of sentiment and financial markets remains relevant. In this study, we take a novel approach to deriving an indicator for panic that has not been used before. We perform econometric modeling using a Vector Autoregressive Model (VAR) and a Vector Error Correction Model (VECM), which allows us to describe in the model not only the long-term equilibrium but also the dynamics towards it. As a result, we got consistent and efficient estimates of the long-term and short-term effects of panic and mortality rates on the volatility of the RTS stock index and found that the market reaction to COVID-19 changed as the pandemic spread: the effects of uncertainty and panic, while having a significant impact at the beginning of the crisis, faded away. The conclusions obtained in the analysis of the Russian stock market dynamics coincide with those obtained by other authors in their analysis of markets in other countries over a similar period.

Do ESG Factors Prove Significant Predictors of Systematic and Downside Risks in the Russian Market after Controlling for Stock Liquidity?

This paper reveals the impact of environmental, social, and governance (ESG) scores on systematic and downside risks in the Russian stock market. We analyze the influence of a broad set of ESG factors controlling for stock liquidity, financial indicators of companies, and macroeconomic indicators. The period under consideration is from 2013 to 2021. The methodology of our research is based on regression analysis with multiplicative variables to reveal the changes induced by the COVID-19 pandemic. We obtain several novel results. Social responsibility is one of the most significant non-fundamental factors influencing both systematic and downside risks. The most important environment-related component is the measure of a company’s propensity to environmental innovations. Some dimensions of stock liquidity are also significant. For some factors, such as the COVID-19 pandemic and debt burden, we find an unexpected direction of influence on liquidity.

Финансовое заражение российского фондового рынка от европейского в период пандемии COVID-19

This paper investigates the transmission of financial contagion from the European to the Russian stock market during the COVID-19 pandemic. Financial contagion refers to the spread of instability and shocks across individual countries, sectors, or markets during a crisis, where the relationship between returns and volatility of different assets goes beyond normal interactions. Using the construction of extended autoregressive models, we test the contagion of the RTSI composite index from the EURO STOXX 50 index, with the US dollar exchange rate and the spot price of Urals crude oil serving as control variables. The calculation of the moving coefficient of variation in assets prices allows us to distinguish the pre-crisis, crisis and post-crisis periods, for which three separate autoregressive models are built. The contagion of the Russian stock market from the European stock market in these models is identified in two ways: 1) based on the growth and significance of estimated coefficient for the tested variable (STOXX 50 index return) during the crisis; 2) through an increase in the contribution of the tested variable to the explained variance of the dependent variable (RTSI return). In addition, we tested contagion based on the method of central co-moments of the distribution of returns, skewness and volatility of the tested and dependent variable. The analysis has convincingly demonstrated the existence of a financial contagion effect from the European stock market to the Russian stock market in the short term — strengthening of the impact of the European STOXX 50 index on the Russian RTSI index in the acute phase of the pandemic. Understanding the factors contributing to the spread of market shocks in the context of financial globalization can help policymakers to implement effective financial regulatory measures and maintain long-term financial stability in line with national interests. For investors, it helps to identify potential risks and opportunities, enabling optimal hedging and diversification response strategies.

THE DURATION OF THE IMPACT OF THE “INVESTOR FEAR INDEX” ON THE RUSSIAN STOCK MARKET

In the process of investing during the period of expectation of a new global economic crisis, it is important to sell existing shares on time. In this regard, the topic of research on the impact of the “investor fear index” on the Russian stock market is relevant. The purpose of the research is to establish the duration of the impact of the CBOE Volatility Index (VIX) on the American and Russian stock markets. To achieve this goal, the following tasks have been solved: theoretical issues of the VIX relationship with stock markets, global economic crises, risk-free assets, monetary incentives have been considered; an appropriate research methodology has been selected; economic and mathematical models have been built reflecting the relationship of the stock markets of the United States and Russia with the “investor fear index”. The results of the study work showed that after the impact of high values of the “investor fear index”, signaling the onset of a new global economic crisis, the Russian stock market will recover and grow within twelve years, the price of shares of Sberbank PJSC — within seven years, the price of shares of Gazprom PJSC — within four years. The results of tainted have practical importance for long-term investors.

Forecasting the Volatility of the Russian Stock Market in the Context of International Economic Sanctions

The article is devoted to the study of trends in the development of the Russian stock market in the context of international economic sanctions. The purpose of the study is to make forecasts of the volatility of the Russian stock market using a scenario approach. Statistical data of the Moscow Stock Exchange were used for calculations. The authors have made a forecast of the volatility of the stock exchange market of the Russian Federation. The basis of the forecast calculations is the dynamics of the Moscow Exchange Index (IMOEX), taken as a key indicator of the Russian organized securities market, for the period from June 2013 to July 2022. Based on the basic historical dynamics of the Moscow Stock Exchange Index, negative (international economic sanctions are being tightened) and positive (implies the easing and/or lifting of some sanctions) scenarios for the development of the stock market of the Russian Federation are compiled. The scientific novelty is the authors’ assessment of the convergence of the volatility forecast under negative and positive scenarios to a certain level of volatility in 2023. The results of the calculations showed that under different scenarios of the situation, volatility tends to the same value at different assumed values of the Moscow Exchange Index, which allowed us to draw a new and practically significant conclusion that over time the economy of the Russian Federation stabilizes regardless of the tightening or easing of international economic sanctions — this may be due to the implementation of the country has a policy of import substitution, the formation of national production in most areas of the economy and the development of the domestic market. The work carried out by the authors contributes to the development of theoretical and applied economics in terms of making forecasts for the development of the stock market and using the results of forecasting to make economically sound decisions.

Statistical analysis of stable fundamental anomalies in stock pricing on the Russian market

Subject. The article considers stable anomalies in the dynamics of stock prices on the Russian stock market, which are caused by specific characteristics of issuing companies. Objectives. The aim is to perform a cross-sectional analysis of excess returns of stock portfolios reflecting new stable fundamental anomalies of the Russian stock market. Methods. The study employs the data of accounting (financial) statements of issuers. I considered the groups of indicators related to operational efficiency, expectation of slowdown in operational efficiency, threat of insolvency (bankruptcy) of the issuer, and the size of capital investments of issuers. The groups of indicators identified four working hypotheses on consideration of corresponding systematic risk factors in the prices of financial instruments. Analytical procedures were carried out in the RStudio development environment. The sample population covers the period from June 2012 to December 2021. Results. I tested the working hypotheses and formed special portfolios, the excess profitability of which simulates systematic risk factors associated with specific characteristics of issuing companies. The test of risk factors for redundancy, using auxiliary regressions and the Sharpe ratio for various combinations of risk factors, demonstrated that the risk factor associated with operational efficiency of issuers can be considered as redundant, since it is fully explained by other risk factors. The risks of slowing the growth of efficiency and the risk of bankruptcy of the issuer in the Russian stock market are investigated for the first time. Conclusions. The revealed price anomalies contribute to the development of theoretical and empirical prerequisites for factor investment strategies in the Russian stock market. The findings may help investors to increase portfolio strategy’s profitability in the Russian stock market.

Сентимент и стадное поведение частных инвесторов: кластерный анализ российского фондового рынка

In this paper, the sentiment of private investors and the divergence of opinions of users of online investment platforms are analyzed as factors in the emergence of herd behavior on the stock market in different clusters. This clusters are formed on the basis of stock exchange information on shares of Russian issuers. The relevance of the study lies in determining the significance of consensus periods and their impact on the behavior of different groups of investors on the Russian stock market depending on different levels of risk taking by investors. Based on the Russian stock market data for the period from 2019 to 2023, 66 discussed Russian stocks were analyzed. To conduct sentiment analysis, an algorithm was applied to collect and automatically classify textual data using machine learning methods. As proxies for private investor sentiment, metrics of logarithmic sentiment and market-wide divergence of opinions on the stocks under discussion were constructed. The testing of the research hypotheses was based on the implementation of clustering and quantile regression analysis methods. As a result, the significant role of divergence of opinions of Internet users in the formation of herd behavior of private investors on shares with lower average return and risk level was determined. It was also found that asset clustering helps to determine the opposite behavior of investors on stocks with higher volatility level. Consensus of opinions in the market is a signal to deviate from the general market trend. Finally, the test of the hypothesis about the significant influence of investor sentiment did not provide sufficient evidence that this kind of sentiment is important for determining herd behavior in the market.

ФУНДАМЕНТАЛЬНЫЙ АНАЛИЗ РОССИЙСКИХ КОМПАНИЙ: ОЦЕНКА СТОИМОСТИ И ПЕРСПЕКТИВ ДЛЯ ИНВЕСТОРОВ

The article presents a fundamental analysis of Russian companies, considering methods for assessing their value and prospects for potential investors. In Russia’s dynamic financial market, understanding the importance of fundamental analysis becomes critical for investors seeking to make informed decisions. The article emphasizes that sound fundamental analysis not only allows one to determine the current value of shares, but also provides in-depth analytical views on the long-term prospects of companies. This analysis is an important tool for forming investment strategies and portfolio management, increasing the likelihood of successful financial decisions on the Russian stock market. In times of uncertainty and market volatility, investors with a deep understanding of fundamental analysis can identify promising opportunities and minimize financial risks. Analytical insights obtained through fundamental analysis become a key factor in making investment decisions aimed at achieving sustainable portfolio growth.

АНАЛИЗ ТЕНДЕНЦИЙ РАЗВИТИЯ РОССИЙСКОГО ФОНДОВОГО РЫНКА

The article analyzes the trends, challenges, and developmental prospects of the Russian stock market. The relevance of the study is based on the developmental trends of the Russian stock market influencing the establishment of the financial system and the provision of the national financial security of the state. The object of the study is the Russian stock market. The subject of the study is the developmental trends of the Russian stock market. The current state of the stock market has been assessed, with triggers and limiting factors determined. The main developmental trends of the Russian stock market were examined based on the conditions of international economic and financial sanctions. The article studies the prospects of modern trends in the technological development of alternative finances, affecting the prospects of Russian stock market development. Despite the negative effect of international sanctions in 2022, the authors concluded that there is an uptrend in the market capitalization of the Russian stock market in 2023. The growth is due to the transformation of the bond market and the establishment of its autonomy from global financial markets.

АНАЛИЗ ЭТАПОВ СТАНОВЛЕНИЯ И РАЗВИТИЯ РОССИЙСКОГО ФОНДОВОГО РЫНКА

This article examines the stages of formation and development of the Russian stock market. The history of its evolution can be divided into two stages: pre-revolutionary and modern. It becomes clear that this tool has stimulated the development of the economy for a long time. After conducting a retrospective analysis of how the stock market has developed, we can conclude about its current state and prospects for its development.

Information Entropy and Heterogeneous Investor Behaviour on the Russian Stock Market

Information Entropy and Heterogeneous Investor Behaviour on the Russian Stock Market