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Regular version of the site

Article

Являлось ли падение российского фондового рынка в 2008 году коррекцией пузыря?

Экономическая политика. 2014. № 3. С. 93-115.

In this paper I diagnose the existence of the bubble in the Russian stock market in 2008 by evaluating the preconditions and direct and indirect indications of the stock market bubbles as well as by analyzing the price levels before the market crash. The research has shown that in 2008 in Russia there existed such preconditions of the bubbles as favorable economic environment, growth of lending and cheap credit, and the state support of investors. Such factors as mass flow into the stock market of retail investors and introduction of new media of communications were only partially present. Of four analyzed indirect indications of the bubble only two, namely the inflow of foreign funds into the stock market and the growth of the number of the investment funds, were present in a week form, other two, namely the increase of IPO and undervaluation of shares in the course of IPO and the narrowness of the market, were completely absent. In the Russian stock market there were no such direct signs of the bubble as quickly accelerating price increase, increase in volatility and trading volume immediately before the crash. The size of correction, 80%, was huge, however it was compensated by quick recovery after the crashn. In 2008–2009 the P/E multiplier of the Russian stock market exceeded the hurdle levels of the bubble only for a short period of time, the market’s P/E peaked after the correction, but not before, the dividend yield before the crisis was not at its lows, its minimum was reached in the course of correction, and the multiplier “market capitalization to GDP” of the Russian stock market was modest compared to the multiplier of the other BRICS members and developed countries. Such pattern may witness in favor of a very small positive bubble in spring of 2008. Thus, the depth of correction in 2008 may be explained by the formation of a negative bubble, testing of which should be the subject of a separate study and would require the development of the appropriate methodology.