Stock Market In Russia Research Articles

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.

Attraction of Individuals to Russian Stock Market

The article studies investment activity of the population on Russian stock market in 2015–2022. The research used data and analytical information of the Federal Service of State Statistics, the Central Bank of the Russian Federation, the Moscow Exchange, NAFI Analytical Center. The authors ground the importance of attracting individuals to the stock market in conditions of economic sanctions introduced against Russia. They come to the conclusion that the growth in the number of private investors and the amount of funds on individual investment accounts are influenced by concessional taxation, higher real incomes of the population, improving financial literacy and trust to the stock market, as well as simplifying registration and trade on stock market and rising profitability of investing into shares and bonds. The adverse impact on the number of brokers’ clients and the amount of funds on individual investment accounts is rendered by deposit rates in banks, dropping confidence to stock market and deterioration in conditions for saving building. The authors provide recommendations on developing the stock market in Russia, which include extension of concessional taxation on transactions with securities by individuals, better accessibility of digital tools and services, for instance by the ‘Marketplace’ project, higher level of finance literacy of the population, especially in rural and remote regions.

ПРОБЛЕМЫ И ТЕНДЕНЦИИ РАЗВИТИЯ ФОНДОВОГО РЫНКА РОССИИ

The article is devoted to the research analysis of the current patterns of development of the domestic stock market. An assessment of the dynamics of the stock market volumes is given. The trends in the movement of the market value of shares of Russian companies and the influence of factors on this process are analyzed. A comparative analysis of the dynamics of the stock market in Russia and the USA is carried out. We also raised the issue of the development of economic relations in Russia characterized by the creation of an effective and transparent mechanism for the formation and distribution of financial resources between economic entities in accordance with market rules and laws. One of these generating and redistributing channels should be the securities market, as an integral part of ensuring the integrity and functioning of all elements of the economic system of the state. In conclusion, it was concluded that the main goal of the Russian market is its transformation into a productive mechanism for reducing the uncertainty of financial activity, which is based on the implementation of an appropriate active state policy

Russian stock market: Trends, challenges and solutions. Academic view

The slowdown of economic growth in Russia during 2000—2020 has been accompanied by decelerating domestic market growth and decline of its competitiveness indicators compared to other foreign markets. To some extent this evidence is associated with limitations of such development factors as favorable external economic conditions for raw materials and inflow of foreign investments. The intention to solve this problem by increasing state participation in economic processes and aiming financial regulation primarily at reaching financial stability goals has not led to any positive results in financial market development yet. The authors emphasize several key problems in this development including obstacles for longterm domestic savings growth, the unattractiveness of Russian issuers’ securities in terms of risk—return trade-off, the scarcity of quality issuers in listing, and the lack of competition between financial organizations. In response to these problems the authors propose applied recommendations that may be demanded when forming a long-term strategy for the development of the stock market in Russia.

Assessing the impact of investors' expectations on the capitalization of publicly-traded corporations on the Russia stock market

Subject. This article investigates the impact of investors' expectations on the capitalization of publicly-traded corporations of Russia stock market. Objectives. The purpose is to assess the impact of investors' expectations on the capitalization of corporations that are publicly traded on the Russian stock market, to expand tools for assessing the expected return of investors. Methods. The study employs models for assessing the profitability of financial assets, namely, Capital Asset Pricing Model (CAPM) and modified CAPM, as well as general scientific and statistical methods for analyzing economic processes. Results. Using the CAPM, I determined expected profitability of twenty Russian publicly-traded companies, operating in the electric energy, oil and gas, and metallurgical sectors of the economy, and assessed the model’s effectiveness. Based on the tools of correlation and regression analysis, I estimated the impact of expected return of investors on changes in company capitalization. The paper reveals the relationship between investors' expectations and changes in the capitalization of Russian corporations. Conclusions. The modified model showed higher forecast efficiency compared to the classical model. There is a strong correlation between expectations of investors, determined under the modified model, and changes in Russian corporations’ capitalization. This enables the company management to influence the market value of the enterprise. The findings may be useful for investors, to enhance the forecast accuracy and make appropriate investment decisions, and for corporate management, to assess the value of company's equity capital, forecast the movement of stock prices, and influence the company's capitalization through the proposed model.

Return and volatility spillover effects between the Turkey and the Russia stock market

PurposeThis study aimed to investigate return and volatility spillover between the Borsa Istanbul (BIST) and the Moscow Stock Exchange (RTS).Design/methodology/approachThis study used generalized autoregressive conditionally heteroscedasticity (GARCH) model for volatility and the Aggregate Shock (AS) model for return and volatility spillover. The data are divided into six sub-periods. Period events take place between Turkey and Russia.FindingsBIST investors considered the return and volatility of the RTS, it is observed that Moscow Stock Exchange investors considered only the return of BIST at the full sample. It is only a return spillover from BIST to RTS and neither the return nor the volatility of the RTS is spillover to BIST in the pre-crisis period. No evidence of return and volatility spillover between the BIST and the RTS in the post-crisis period. The returns and volatility spillovers between Russia and Turkey are mutual feedback in the jet crisis period.Practical implicationsEconomic developments between Turkey and Russia is growing rapidly in recent years. The return and volatility analysis between the stock exchanges of these two countries is important for investment decisions.Originality/valueThere are many studies in the literature about emerging markets. There are also Turkish and Russian stock exchanges in these studies. However, this study only examined return and volatility spillover analysis between the Turkish and Russian stock exchanges and prevents the results from being overlooked among other countries.

Determinants of Private Investors’ Behavior on Russian Stock Market

The article explores behavior features of different group of private investors on the Moscow and Saint Petersburg stock exchanges. It was found that the change in the size of the biggest group of registered broker clients on Moscow Exchange depended heavily on growth of real income and key characteristics of passive forms of income, such as deposit rates, government bond returns and stock dividend yield. Active broker clients on the Moscow stock exchange mainly focused on more speculative factors, such as equity premium, equity volatility, foreign stocks’ returns and exchange rate. The growth of individual investment accounts depended on factors of both active and speculative forms of income. The quantity of broker clients on Saint-Petersburg Exchange relied on an even wider set of factors, which included not only risk and returns on national markets, but also characteristics of foreign assets and exchange rates. The two Russian exchanges are interrelated. The bond and equity premium growth makes the national market more attractive than foreign assets. The expansion of private investors on the stock market in Russia, which began in 2018, is explained not only by a search for other investment instruments apart from deposits, especially under the ongoing decline in interest rates, but also by a growing interest in individual investment accounts. The latter represent a positive example of state influence on people’s savings through tax policy. Another factor of the raise of private investments was the implementation of modern investment platforms and active promotion of broker services by major banks. The financial crisis which begun in March 2020 can become a serious challenge for millions of private investors who had opened accounts in the previous two years.

The “dividend puzzle” and the Russian stock market. Part 1

This article analyzes the key patterns of the dividend policy and the problem of the “dividend puzzle” in the general context of the development of the stock market in Russia. The article consists of two parts.In the first part we summarize main research trends of dividend policy in modern economic theory (the classical Modigliani—Miller theory of dividend irrelevance, agent and signal hypotheses, the smoothing model, the catering theory, etc.). We emphasize the theoretical analysis of motivation of the largest Russian companies for profit allocation and dividend payout, based on a sample of 236 joint stock companies. Since 2012, a steady increase in dividend payments has been revealed in both private and state-owned enterprises (SOEs). The bulk of dividend payments from SOEs accounts for only 12 major companies. Along with an increase in the market value, dividends have become an important factor in the total return on shares. Under current conditions, the probability of paying dividends depends not only on the size of the company and indicators of its’ financial stability, but also on the presence of the state in the capital of companies. However, the relationship between the probability of paying dividends and state participation in the ownership structure is not universal and can be explained by specific factors that go beyond the classical dividend theories.In the second part we will analyze the patterns of stock market performance and dividend policy of the largest Russian companies, motivation for dividend payouts and special aspects of SOEs policy.

ФУНКЦИОНИРОВАНИЕ БИРЖЕВОГО РЫНКА ПОД ВЛИЯНИЕМ ПРОЦЕССОВ ЦИФРОВИЗАЦИИ ЭКОНОМИКИ

In the article, from the standpoint of reasons and necessity, the qualitative and quantitative characteristics of the key trends in the development of the stock market in Russia are disclosed. The leading role is assigned to the processes of computerization of the exchange market: the introduction and use of digital technologies that ensure the financial stability of the financial market as a whole, its security and transparency, as well as access of a large circle of investors to banking and financial operations, and the protection of their interests. It has been established that the processes of introducing and using digital technologies, organically built into the mechanism of the functioning of the securities market as a whole, determine the directions of development of such trends as innovations, diversification of stock market instruments, securitization, integration with international stock markets, etc. key trends influenced by the technological development of the stock market, lead to blurring the boundaries between the primary and secondary markets.

ОСНОВНЫЕ НАПРАВЛЕНИЯ ИНВЕСТИЦИОННЫХ СТРАТЕГИЙ И АНАЛИЗ РЫНКА ЦЕННЫХ БУМАГ ИНИВИДУАЛЬНЫХ ИНВЕСТОРОВ РЕСПУБЛИК БАШКОРТОСТАН И ТАТАРСТАН

The article is devoted to the implementation of individual investors' activities in the securities market. The main directions of investment strategies are defined. The formation and rapid development of the stock market in Russia creates the necessary prerequisites for large-scale and efficient use by investors of securities transactions. The functioning of the stock market provides for the acquisition, on certain conditions and for a certain period, of free cash resources, raising funds through the issuance and sale of securities and channeling them to the technical renewal of enterprises, their reorientation to the production of competitive products. The stock market creates the conditions for the movement of capital as a result of intersectoral competition, while forming a complex system of markets in which demand and supply for various means of payment are formed and concentrated. In recent years, due to certain historical and economic circumstances, new types of investors begin to dominate in the securities market in Russia – in particular, individual investors, who represent one of the most promising groups of investors in the securities market. The purpose of the work is to determine the directions of investment strategies of an individual investor in the securities market, as well as conduct investment analysis of the Republic of Bashkortostan and Republic Tatarstan. The object of the study is the activities of individual investors in the securities market. The objectives of the work are: 1. Definition of the main directions and essence of investment. 2. Identification of investor opportunities. 3. Analysis of investment in the Republic of Bashkortostan. 4. Analysis of investment in the Republic Tatarstan. The basis of this work is the work of foreign and Russian researchers in the field of investment. This paper analyzes the investment of the stocks market of the Republic of Bashkortostan and Republic of Tatarstan. Based on the results of the analysis, conclusions and proposals for attracting investors were formulated.

Optimization of depository accounting system of stock and obligation market with application of blockchain

Purpose of the study. The first goal of the study is a comparative analysis of the models of the accounting system of the stock market operating on the territory of the Russia, in particular, the model of the distributed accounting system and the model of the centralized accounting with the use of the central depository are considered. The second goal is to apply the distributed ledger technology in the development of a new model for the stock market accounting system. The goals are conditioned by the growing interest to the technology and similarity of its internal processes with the system of accounting of digital assets. The needs in optimization of the existing accounting system, bringing the system to the logical centralization are revealed. The application of distributed ledger technology for the purpose of unification of depository accounting systems is proposed. The analysis of efficiency of the given models is carried out and the criteria of efficiency estimation of each model are revealed. Materials and methods. For carrying out the research the works of description of register system genesis of stock market in Russia were applied. Works of Russian and foreign researchers in the field of influence of technology of distributed registers on accounting system and business processes of organizations are studied. The methodology for comparing models was the approach to the development of highly specialized evaluation criteria that meet the needs of the largest number of stock market participants. Results. Evaluation criteria were developed, on the basis of which the comparison of the existing models of the accounting system of stock market and the projected model on the distributed ledger technology was carried out. The needs for optimization of the existing accounting system of Russia, bring the system to the logical centralization of interaction of elements are revealed. Suggestions for the use of distributed ledger technology in order to unite the register systems of obligations have been developed The variety of elements of the accounting system of the Russian stock market was determined a large number of indicators used in comparisons of models, as well as a variety of approaches, both to the construction of the indicators themselves and to the collection of data to ensure their calculation and comparison. Conclusion. According to the results of the research it was determined that the decentralized model of the stock market accounting system on the distributed ledger technology in comparison with the classic model reduces the transaction cost of obligation right accounting operations, optimizes the complexity of the processes of interaction between the elements of the system, such as depositories and registrars, increases the transparency of the stock market, the processes of the transition of assets rights, due to which the liquidity of such assets and the increases investors interest. Decentralized model standardizes the of communication data, which has a positive effect on the indicators of information systems of participants. In comparison with the centralized model, the decentralized model eliminates the central depository transaction commission, eliminates monopolization to choose the direction of stock market depository accounting system development. Finally, the positive influence of the decentralized model on the stock market as a whole was revealed. The resulting form of relations will reduce the main cost indicators of the accounting system elements, such as transaction costs, the cost of support and development of information systems, the number of necessary formats for the application of interaction with counterparties.

Investigating the risk spillover from crude oil market to BRICS stock markets based on Copula-POT-CoVaR models

To investigate the risk spillover effect from crude oil market to BRICS stock markets, we extend the Copula-CoVaR models by introducing the Peak-over-Threshold and construct the Copula-POT-CoVaR model. By using the crude oil market and BRICS stock market data from 2006 to 2016 as the sample, the empirical study results show that: (a) Copula-POT-CoVaR model is an effective method to measure the extreme risk, (b) there is a significant risk spillover from crude oil market to BRICS stock markets, and the risk of crude oil market explains more than 50 percent of BRICS stock markets' risk, and (c) within five BRICS stock markets, Russia's stock market and China's stock market receive the strongest and slightest spillover from crude oil market respectivlely. These findings indicate that close attention should be paid to the crude oil market when managing the investment portfolio of BRICS markets, especially in the face of high volatility of crude oil market.

The model estimates the level of efficiency of corporate governance

The majority of Russian enterprises have problems with updating their production assets and therefore are in dire need of investments. A huge role in the investment attractiveness of enterprises is provided by its corporate governance system. The lack of a well-developed stock market in Russia is not the last problem pushing investors away. The purpose of this work is to develop a mathematical model for assessing the effectiveness of corporate governance of the enterprise to make a decision on foreign investment in the oil industry corporation. In the sources available for analysis, insufficient attention is paid to the analysis and development of methods for assessing the effectiveness of corporate governance when deciding on the external investment of the corporation. In order to make a decision of a potential investor to invest in a company, the investor must have an idea of the activities of the company and its economic and financial indicators. The system of performance indicators of the corporation’s personnel, which affect its value, has a poorly structured structure. To solve the problems of weakly structured systems it is necessary to use fuzzy logic methods. These methods allow making qualitative assessment of activity of the enterprise and its administrative personnel, giving the chance to define level of management of the enterprise and quality of performers of work. Existing models of corporate governance performance assessment borrowed from abroad are not effective in Russia. The level of corporate governance in the company is determined using ratings from the major rating agencies such as S&P, RBC, EXPERT RA, CORE rating. But for this method of measurement, there is one important condition: the estimated company must be included in the lists of these agencies in order to monitor and analyze its corporate governance. However, often in Russia, not all companies are included in the list of rating agencies, especially if these companies belong to medium- sized businesses. In the paper the model of corporate governance efficiency evaluation is presented in the form of a system of components, each of which is formed from economic indicators, taking into account both the economic characteristics of the enterprise and the qualitative composition of its personnel and not tied to the quotes of the company’s shares in the stock markets. This model is built with the help of the method of fuzzy logic, which allows combining quantitative and qualitative indicators. Using the theory of fuzzy sets, the difference in the values of the initial indicators is eliminated when assessing the level of efficiency of corporate governance, and through operations on linguistic variables, the core component of the corporate governance level is combined. With the help of productive rules of fuzzy logic, the numerical components of the level of efficiency of corporate governance are given to fuzzy form. The developed model of decision-making of a potential investor about investing in an enterprise, based on the calculation of the assessment of the level of efficiency of its corporate governance, shows the potential investor the level of economic and financial management of the enterprise, the quality of management and working staff of the enterprise, promotes the decision on the feasibility of investing in corporations.

Rozwój giełdowego rynku finansowego w Federacji Rosyjskiej na przykładzie Moskiewskiej Giełdy Papierów Wartościowych

The aim of the article is to evaluate the development of the stock exchange financial market in the Russian Federation and to indicate its basic characteristics. Two segments of this market were analyzed: foreign exchange market and capital market. The research period encompasses years of 2012–2016 and the starting point was the first year of operation of the Moscow Exchange (MOEX) after the merger of two exchanges, namely the Moscow Interbank Currency Exchange (MICEX) and the Russian Trading System (RTS). The analysis of turnover and capitalization statistics (in the case of equity and bond markets) as well as the portfolio of financial instruments of the local stock exchange were used as a research method. The following thesis has been adopted in the paper: stock market in Russia, as a result of the strong diversification of its offer, gives investors a wide range of investment opportunities. The structure of the stock market in Russia is different from that seen in developed financial markets in other countries.

Financial Markets and Financial Institutions in Russia in 2016

In 2016, Russia's stock market, in terms of its rates of return, set a world record among all the other stock markets. Over that year, the RTS Index gained 52.3%, and the MICEX Index –26.8% (Fig. 1). The faster growth rate of the RTS Index, which reflects the price of shares in US dollar terms, can be explained by the ruble's strengthening in 2016. The other forces behind the growth of the Russian stock indexes were the rising oil prices, the inflow of non-residents' money in response to the strengthening ruble and the stably high key interest rate, and investor expectations of recovery economic growth.

Диагностирование инсайдерской торговли на российском фондовом рынке перед важными корпоративными событиями

Владислав Владимирович Петров - Научно-Исследовательский институт "Высшая школа экономики".
 Электронная почта: petrovv41091@gmail.com
 В статье представлены результаты исследования инсайдерской торговли в периоды, предшествующие важным корпоративным событиям на российском фондовом рынке в 2005–2015 годах. Исследование базируется на анализе накопленной избыточной доходности (ACAR) и избыточного объема торгов (AAV) вокруг новостного события. В рамках исследования были проанализированы выборки объявлений о сделках M&A, SPO, выплате специальных дивидендов и делистинге акций на предмет наличия признаков инсайдерской торговли вокруг даты анонсирования события.
 Было установлено наличие признаков инсайдерской торговли перед анонсированием сделок M&A, объявлений о выплате специальных дивидендов и о делистинге акций. Так, за несколько дней до события наблюдались положительные (отрицательные в случае объявлений о делистинге акций) значения ACAR и AAV, которые росли по мере приближения дня анонсирования события и достигали своего максимума за день до события. Признаков масштабной инсайдерской торговли при объявлениях о дополнительном размещении акций обнаружено не было.
 Сравнение масштабов инсайдерской торговли на фондовом рынке России и США показало превышение масштабов инсайдерской торговли на российском фондовом рынке в два раза. Кроме того, было выявлено, что ужесточение законодательства Российской Федерации в сфере противодействия инсайдерской торговле в 2010–2013 годах не дало желаемого результата и масштабы инсайдерской торговли на российском фондовом снизились незначительно.

The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model

Abstract Aiming to investigate the evolution of mean and volatility spillovers between oil and stock markets in the time and frequency dimensions, we employed WTI crude oil prices, the S&P 500 (USA) index and the MICEX index (Russia) for the period Jan. 2003–Dec. 2014 as sample data. We first applied a wavelet-based GARCH–BEKK method to examine the spillover features in frequency dimension. To consider the evolution of spillover effects in time dimension at multiple-scales, we then divided the full sample period into three sub-periods, pre-crisis period, crisis period, and post-crisis period. The results indicate that spillover effects vary across wavelet scales in terms of strength and direction. By analysis the time-varying linkage, we found the different evolution features of spillover effects between the Oil-US stock market and Oil-Russia stock market. The spillover relationship between oil and US stock market is shifting to short-term while the spillover relationship between oil and Russia stock market is changing to all time scales. That result implies that the linkage between oil and US stock market is weakening in the long-term, and the linkage between oil and Russia stock market is getting close in all time scales. This may explain the phenomenon that the US stock index and the Russia stock index showed the opposite trend with the falling of oil price in the post-crisis period.

Stock markets in BRIC: development levels and macroeconomic implications

The main purpose of the article is the presentation of changes in the stock market development level and their implications for the real economy in BRIC, i.e. Brazil, Russia, India and China. Research method was case studies based on qualitative and quantitative data. First part of the text is devoted to presenting main concepts regarding theoretical linkages between the stock market and real economy. Empirical part begins with the analysis of the changes in the level of stock market development linked with assessment of main functions fulfillment level between 2002 and 2012. Results indicate that the differences between BRIC countries are significant, with Brazil and India having most advanced stock markets and Russia most underdeveloped. Second empirical part focuses on the economic growth effects linked with the stock market development. According to the results, stock markets in BRIC countries influence the real economy mostly through changes in the stock of the economy’s fixed capital. However, this impact is strongest in Brazil and India, while in Russia stock market is of minimal significance (results for China are not fully comparable).