RELATIONSHIP OF THE RUSSIAN STOCK MARKET DYNAMICS AND STRUCTURE OF FACTORS IN VARIOUS ECONOMIC CONDITIONS
The stock index is a significant indicator characterizing the state of the national econ-omy, while this indicator is one of the first to respond to negative phenomena occurring both at the global and national levels. Against the background of a regular change of conditions for the dynamics of the Russian stock market, it is important to understand what structure of fac-tors determines these conditions. The purpose of this study is to identify structural changes in the dynamics of the RTS index and economic factors. To achieve this purpose, a grouping of factors was carried out according to the criterion “Place of origin in the economic system”. The research period (2002-2018) is divided into four stages of the stock market development - before the crisis of 2008, during and after it, as well as adverse trading conditions since 2014. The use of correlation analysis, namely, matrices of partial correlation coefficients, allowed establishing macroeconomic crises which are transforming the system of studied relationships. It was revealed that negative economic phenomena lead to a break in the dynamics of the RTS index and the development of the real economic sector, to a decrease in the relationship with financial indicators of both the internal and external environment. In the period of strong growth after the crisis, the stock market and the real economic sector continue to diverge, the role of domestic financial indicators decreases, and the Russian market is independent of the dynamics of external financial markets. Under the conditions of post-crisis uncertainty in 2014 and subsequent years, the market dynamics are interconnected with the real and financial sec-tors of the economy, but unlike 2008, the role of the foreign exchange market and oil prices is decreasing.
Keywords: stock market, RTS index, structure of economic factors, financial and eco-nomic crisis, conditions of uncertainty, correlation.
Highlights:
The factors influencing the Russian stock market by the criterion “Place of origin in the economic system” were systemized, and the groups of factors - indicators of real and financial sectors of the internal and external economic environment were identified;
the relationship between the dynamics of the Russian RTS index and the identified groups of factors in the periods before, during and after the financial and economic crisis of 2008, as well as in conditions of uncertainty since 2014 were analyzed;
it was revealed that the global economic crisis provokes a divergence in the dynamics of the Russian stock market with the domestic and foreign real sectors of the economy, and during periods of internal instability, only with national indicators characterizing the develop-ment of the real sector.
Anna A. Kolesnik, assistant, Rostov State University of Economics.