Оценка рисков на финансовых рынках с учетом скорости сходимости к нормальному распределению
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001–2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is the nearest market index in terms of closing time to the Russian stock index. We find that political news like the Yukos arrests or news on the Georgian war have a short-term impact, since there are many other shocks. These factors confirm the structural instability of the Russian financial market.
This article deals with the influence of different factors on the RTSI in the period from March 2007 to August 2009. The period is further subdivided into three subperiods − pre-crisis, high oil prices and time of crisis ones. The stationarity testing, the Granger causality analysis, the analysis of cointegration, the impulse response functions and the variance decomposition let us get the information on the degree of oil price impact, the S&P-500 and FTSE-100 stock indices one and the «investors' fear gauge» index VIX influence on the RTSI. The time series cointegration analysis demonstrates the presence of the cointegration relations. The results of the research can be applied in making scenario forecasts based on the middle-run and long-run oil prices.