PROBLEMS AND TRENDS IN THE DEVELOPMENT OF THE RUSSIAN STOCK MARKET

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

. Influence of Telegram-Channel Publications on the Dynamics of Shares of the Russian Stock Market

With the active development of the Russian stock market, new types of unfair practices and forms of illegal behavior of its participants appear. One of the latest problems that attracted the attention of the Central Bank of Russia was the influence of Telegram channels on the dynamics of shares in the Russian stock market. In order to comprehensively study the problem, based on the analysis of the publications of Telegram channels devoted to investment topics, the author identified 3 channels that most often publish investment ideas in order to influence the dynamics of the shares of a particular company. Next, 73 publications of trading ideas were selected and, using the Thomson Reuters Eikon database, the daily and weekly data on the dynamics of the stocks of the companies in the sample were downloaded. Based on the analysis of the data obtained, the mechanism and the degree of influence of the publications of Telegram channels on the dynamics of shares of individual companies of the Russian stock market, as well as the potential excessive profitability that could be obtained by administrators of Telegram channels, were determined.

The Initial Analysis of the Share Suitability for the Inclusion into an Active Trading Strategy

The article lists the problems inherent to the Russian stock market at the present stage, special attention is paid to the liquidity issues. The authors evaluate the shares of all issuers listed on the Moscow Stock Exchange for the possibility of their inclusion in an active strategy based on average trading volumes. The article calculates the effectiveness of using the methods of average values in assessing the compliance of the selected instruments with the minimum required liquidity values. In the course of the work, the industry features of the Russian market are taken into account. The classifier of the Moscow Exchange is used to distribute issuers by industry. In parallel, the liquidity imbalance between the branches of the Russian stock market is being investigated. The conclusion is given about the real number of stock market instruments suitable for use in active trading strategies. The result of the study is a formed set of shares distributed by industry.

Approaches to shaping portfolio strategies based on the socially responsible investing concept

Subject. The article considers formulation of portfolio strategies that rest on the concept of socially responsible investing. Objectives. The purpose of this study is to analyze approaches to shaping the portfolio strategies based on the principle of socially responsible investing in the Russian stock market. Methods. The study employs general scientific research methods; logical, comparative, and statistical analyses; graphical analysis techniques. Results. We formulated and tested two strategies of socially responsible investing, i.e. Short ESG Ranking of Russian Companies and Long ESG Ranking of Russian Companies. The testing demonstrated below market return for the entire period. Thus, the strategies cannot be considered effective. To increase profitability, we proposed to optimize the strategies by including ESG-related debt instruments. Green bonds enabled to significantly increase profitability and outstrip OFZ yields. Despite the fact that according to the testing, the effect of both strategies turned out to be worse than IMOEX and MOEXBC indices, the strategies can be considered as relevant and acceptable for portfolio simulation. Conclusions. Under the current conditions in the financial markets caused by serious shocks during the coronavirus pandemic and significant changes in the monetary policy of the Bank of Russia, the proposed strategies can be used by socially responsible institutional investors to shape investment policy and by individuals to manage funds in individual investment accounts. New bonds of Russian issuers in the sustainable development sector of the Moscow Exchange expanded the list of ESG instruments. They can serve as an effective optimization tool.

DYNAMIC LINKAGES BETWEEN STOCK MARKETS: EVIDENCE FROM USA, GERMANY, CHINA AND RUSSIA

Currently, financial markets are growing rapidly, which increases the necessity to examine the financial sector. Considering the Russian Federation, the amount of private investors has doubled in Russia since the beginning of 2020 (Finam, 2020). It is important to realize how cash flows between the largest stock market indices. The main hypothesis of the research suggests that the U.S., Germany, and China markets result in significant changes in the Russian stock market. The research objective is to determine the degree of the Russian stock market dependence on the markets of developed and developing countries using methods of econometric analysis. Daily data on S&P500, DAX30, Hang Seng, and Moscow Exchange Index from January 1, 2015, to December 31, 2019, were taken. The research method chosen is a cointegration approach, including the construction of vector autoregression and vector error-correction models and the application of Impulse Response Functions. The results of the Granger causality test reveal no significant interconnection between the Dax30 and the Moscow Stock Exchange Index; the S&P500 affects the Moscow Exchange Index, whereas the Russian stock market affects the Chinese one. According to the cointegration analysis, there is a strong positive influence of the American stock market on the Russian stock market, which does not decrease during the researched period. The stock indices of China and Germany show a weak quantitative influence and mixed dynamics for a long time. The results of the research could be used as recommendations for making management decisions by private investors, hedge funds and managers of large companies.

The New Investment Cycle: Current Finance Mechanisms of Power Engineering Development

The article provides the analysis of current finance mechanisms of developing power systems in the context of acute necessity to start a new investment cycle. It draws a conclusion that state policy in the field of power engineering cannot foster the development of such mechanisms of its financing as state subsidies on purchase and installation of equipment, contracts on buying electricity and power-service contracts. The analysis of extra opportunities of raising investment showed expediency of developing green mechanisms of financing power engineering in Russia and motivating power companies to conduct IPO. The authors put forward recommendations aimed at attaining the acute objective to develop and implement key initiatives promoting the start of a new investment cycle in order to raise funds for modernizing the existing power projects and opening new ones in accordance with higher ecological requirements. For example, to stimulate the growth of Russian companies' IPO and realize the investment potential of the Russian stock market the Central Bank of the Russian Federation and the Ministry of Economic Development study the possibility to introduce new tax preferences for investors and companies entering the market, which could ensure institutional support for investors and issuers.

Comparative analysis of the forecasting quality of the classical statistical model and the machine learning model on the data of the Russian stock market

The main objective of this work is to compare the predictive ability of the classical machine learning model — ARIMA, as the most common and well-studied baseline model, and the ML model based on a sequential neural network — in this case, LSTM. The goal is to maximize accuracy and minimize error — selecting the most appropriate model for predicting time series with the highest accuracy. A description is given for these mathematical models. An algorithm is also proposed for forecasting time series using these models, based on the «Rolling window» approach. Practical implementation is implemented using the Python programming environment with the Pandas, Numpy, pmdarima, Keras, Statsmodels libraries. To train the models, we used stock data at the closing price per share of the leading Russian companies: Yandex, VTB, KamAZ, Kiwi, Gazprom, NLMK, Rosneft, Alrosa for the period. The studies carried out demonstrate the predictive superiority of the approach based on neural networks, while the RMSE is 71% less than the same indicator for the ARIMA model, which allows us to conclude that the use of the LSTM model is preferable for this class of problems.

Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets

This study analyzes the spillover effects of volatility in the Russian stock market. The paper applies the Diebold–Yilmaz connectedness methodology to characterize volatility spillovers between Russian assets. The spectral representation of the forecast variance decomposition proposed by Baruník and Křehlik is used to describe the connectivity in short-term (up to 5 days), medium-term (6–20 days) and long-term (more than 20 days) time frequencies. Additionally, two new augmented models are developed and applied to evaluate conditional spillover effects in different sectors of the Russian economy for the period from January 2012 to June 2021. It is shown that spillover effects increase significantly during political and economic crises and decrease during periods of relative stability. The rising of the overall level of spillovers in the Russian stock market coincides in time with the political crisis of 2014, the intensification of anti-Russian sanctions in 2018 and the fall in oil prices and the start of the pandemic in 2020. With the consideration of the augmented models it can be argued that a significant part of the long-term spillover effects on the Russian stock market may be caused by the influence of external economic and political factors. However, volatility spillovers generated by internal Russian idiosyncratic shocks are short-term. Thus, the proposed approach provides new information on the impact of external factors on volatility spillovers in the Russian stock market.

IIA - a Step Forward, Giving a Leap into the Future

The study examines all aspects of individual investment accounts as a long-term financial instrument. The authors analyze the advantages and disadvantages of this tool for private investors and the state, give the main indicators of the development of IIA and the stock market. The paper gives the forecast of the dynamics of the development of the Russian stock market and compares it with the stages of development of the American one. The authors define the new conditions of the “game” and give characteristics of qualified and unqualified investors. The authors pay special attention to the regional aspect, determine the key directions of the development of IIA at the local level. In the conclusion, the ways and prospects of its development are proposed. Individual investment account is investigated as a long-term financial instrument.

Analyzing the efficiency of portfolio strategies based on the dividend yield concept: Evidence from the Russian stock market

Subject. The article focuses on the formation and management of the securities portfolio. In developed economies, various strategies are used to manage portfolios. The tendencies permeate the practice of portfolio managers and in the domestic market. Objectives. We analyze the efficiency of portfolio management strategies based on the dividend yield concept in order to find the most appropriate one for the Russian market for mid-term investment. Methods. The study is based on general methods of logic, comparative and statistical analysis, graphical and indicative comparative analysis. Results. Having tested strategies based on the dividend yield concept, we suggested using an improved mid-term strategy, which may suit many investors, including institutional ones. The article presents our suggestions on the improvement of a strategy for creating and managing a securities portfolio in the Russian stock market, which is based on the Dogs-of-the-Do principle. Conclusions and Relevance. Drawing upon the dividend yield concept, the proposed strategy ensures the average yield exceeding those of DOW 5 and DOW 10 strategies, bank deposit and investment in federal loan bonds. However, it is inferior to IMOEX and MOEXBS due to the lose of the portfolio balance once a year. Securities within the strategy make up ETF to lure more investors. The inclusion of FXUS increased the average annual yield by 2.45 percent. The addition of FXMM significantly reduces foreign currency risks. To optimize the strategy, there should be REPO with the central counterpart and CCP-cleared REPO, which raises its yield through arbitrage transactions.