Статья написана на английском языке.
The last couple of decades have witnessed significant institutional and structural changes in financial sector within a worldwide trend toward consolidation. In the segment of organized trading stock exchanges merge and develop into large and diversified publicly traded companies. These processes are rather complicated in case of a transition economy like Russia. In December 2011 MICEX, the first largest and state-controlled stock exchange acquired RTS, the second largest and privately owned stock exchange primarily designed for foreign investors. We empirically investigate whether the acquisition resulted in improved liquidity of the Russian stock market which was one of the declared acquisition objectives. We use the Kolmogorov–Smirnov and the Wilcoxon tests to compare market-wide liquidity in several discrete periods pre and post acquisition. A deep and thorough insight into liquidity performance is ensured by assessing liquidity from limit order book data of tick frequency along three dimensions (tightness, immediacy, and elasticity).
We investigate the cross section momentum effect in the Japanese stock market over the period January 1997 to December 2013, sub-periods before August 2008 and during the crisis September2008–2009. From previous studies, it follows that the Japanese market is the exception to the findings on developed capital markets (momentum effect does not occur or is weak). Our study highlights the limitation of standard notions; we document the conditional nature of momentum and identify the characteristics of companies and their stocks and market states, allowing investors to earn positive momentum profit in the Japanese market (the statistically significant positive monthly return of zero cost portfolios is not less than 1%). It is shown that investors should take into account the seasonal pattern (for the Japanese stocks this revealed two months when we do not recommend taking investment activity) to increase portfolio profits. We explain the results from the specifics of the Japanese financial and governance systems, the ownership structure of listed Japanese firms and socio-cultural factors.
The paper investigates causal relationships between systemic risk, economic policy uncertainty and firm bankruptcies, conditional on global volatility proxied by the VIX index, in a sample of 15 advanced and major emerging market economies during January 2008-June 2018. We test for Granger causality in time and frequency domains as well as dissect multivariate causal linkages in the dynamic complex system framework by applying a novel technique – convergent cross mapping (Sugihara et al., 2012). Based on strictly coincident results from all the three approaches, we find that systemic risk causes firm exit in Spain, while in the UK and the Netherlands bankruptcies are triggered by economic policy uncertainty. In South Korea and the USA, the VIX index causes the firm shutdown. For the rest of the countries, the causality inference provides less robust evidence. We argue that the magnitude of deleveraging by banks with respect to the private nonfinancial sector, proxied by the volatility of credit-to-GDP gaps, shapes the presence or absence of causal impact by systemic risk, economic policy uncertainty or the VIX index on bankruptcies.