The relationship between stock indices and global economic indicators. Correlation of indices and currency pairs. Gross domestic product. Definition and calculation methods

Moscow - 2008

The dissertation work was completed at the Department of Statistics, State University of Management.

Scientific director: Doctor of Economics, Professor Efimova Marina Romanovna

Official opponents: Doctor of Economic Sciences, Professor Vladimir Sergeevich Mkhitaryan, Candidate of Economic Sciences, Professor Vera Petrovna Safronova

Leading organization: Moscow State University named after. M.V. Lomonosov.

The defense will take place “___”_____________2008 in ____ at a meeting of the dissertation council D 212.049.05 at the State University of Management at 109542 Moscow, Ryazansky Prospekt, 99, meeting room of the Academic Council.

The dissertation can be found in the library of the State University of Management.

Scientific secretary of the dissertation council, candidate of economic sciences, associate professor L.V. Tokun

I. GENERAL CHARACTERISTICS OF THE DISSERTATION WORK

Relevance research topics. A feature of the development of the global economy in the 20th – early 21st centuries was a significant increase in the role of the stock market, which is acquiring leading importance in the system of financial markets. The stock market currently existing in Russia is a typical large emerging market. It is characterized, on the one hand, by high rates of positive quantitative and qualitative changes, on the other hand, by the presence of numerous problems that are complex in nature and impede its more effective development. The Russian stock market has already begun to perform the macroeconomic function of transforming savings into investments for our country. An increasing number of enterprises in the real sector are beginning to consider it as the main source of attracted resources to finance investments in fixed assets and takeover of competitors.

Objective processes of globalization of the world capital market raise the question of the influence of foreign capital markets on the national stock market of Russia. The relevance of this formulation of the issue is evidenced, for example, by the large share of foreign partners in the total volume of investment attracted by Russian companies and in the total volume of transactions with Russian shares.

In Russia, with its integration into global financial markets, the emergence of foreign capital in the national market and the placement of Russian capital abroad, there is a need to assess the degree of dependence of the Russian stock market on foreign markets.

Representatives of the stock market talk about strong mutual penetration of stock markets, but it is not yet possible to say that the boundaries of national markets have already been erased.

In this regard, a more detailed analysis of the dynamics and environment of the national stock market, external influence on market dynamics, an assessment of the relationship between the national stock market and foreign stock markets is required to obtain objective and reliable information about the existence of a relationship between equity capital markets.

In order to successfully predict the development of the national economy, it is necessary to take into account the effect exerted by the external environment, namely, the global economy. One way to take into account the influence of foreign markets can be to take into account the dependence of the national stock market on foreign markets - tracking the closeness of the dependence between stock markets makes it possible to rely on forecasts for the development of the national economy based on the conditions of developed or developing economies. An unexpected increase in dependence gives a signal that the situation in the corresponding stock market should be monitored in more detail.

Integrated indicators of stock markets are stock indices, so assessing their relationship will give an idea of the degree of influence of individual foreign markets on the national market in order to more accurately predict the development of the national economy.

Determining the relationship between the Russian stock market, or confirming the fact of its absence, will allow us to build more informed forecasts for the development of the national economy and the Russian stock market. For private investors, confirmation or refutation of the fact of the connection between stock markets will make it possible to more accurately analyze and predict the global and national stock market, identify leading industries based on the structure of stock indices, and determine the individual characteristics of individual stocks.

The degree of development of the research topic. Until 1990, certain issues related to the stock market were addressed in the works of B.I. Alekhina, A.V. Anikina, E.Ya.

Bregel, V.S. Volynsky, I.S. Korolev, L.N. Krasavina, G.G.Matyukhin, D.V.Smyslov, V.M.Sokolinsky, Yu.S.Stolyarov, B.G.Fedorov and other authors. During the period 1945-1990, only a few works devoted to the securities market were published.

Books and articles by B.I. are devoted to various aspects of statistical analysis and, in particular, the stock market. Alekhina, S.A. Ayvazyan, A.I. Basov, A.I. Belzetsky, V.A. Galanov, V.I. Degtyareva, E.V. Dorokhov, I.I. Eliseeva, M.R. Efimova, O.A. Kandinskaya, V.I. Kolesnikova, A.A. Kozlov, O.I. Lavrushin, V.D. Milovidov, V.S. Mkhitaryan, I.N. Platonova, B.B. Rubtsov, A. V. Semenkova, B. M. Cheskidova, E. V. Chirkova, A.A. Erlich, A.B.

Feldman. Some of the works were textbooks and did not deeply cover the issues and problems of the stock market, some were translations of foreign literature devoted to the stock market. Among the translated literature that can be classified as “classical” on the stock market, we note the books by W. Sharp, J. Van Horn, R. Braley and S. Myers, T. Watsham and J. Parramow.

In the literature on stock markets existing in Russia, the main emphasis is placed on individual stock market instruments and the features of issuing securities, while issues covering comparative characteristics and a comparative description of the Russian stock market in comparison with foreign stock markets remain insufficiently developed; questions of quantitative analysis, the degree of interrelation between Russian and foreign stock markets. Approaches to forecasting the Russian stock market, including through relationships with foreign stock markets, are not sufficiently disclosed.

In 2007, under the auspices of the National Association of Stock Market Participants (NAUFOR), the “Ideal model of the Russian stock market for the medium term (until 2015)” was developed. In this work, the authors set the task, based on an analysis of trends in various indicators of the stock market, to predict its growth dynamics in the medium term.

Among the developments devoted to the problems of the relationship of world indices and assessing their mutual influence, one can highlight the works of scientists working under the auspices of the World Bank and the IMF: M. Pritsker “Channel of Financial Contagion”, T. Baig and I. Goldfan “Russian Default and Financial Contagion” to Brazil”, K. Forbes and R. Rigobon “Measuring financial contagion. Conceptual and empirical aspects".

When carrying out his dissertation research, the author relied on the fundamental documents developed by the government: “Development Strategy of the Russian Federation until 2010”, “Strategy for the Development of the Financial Market of the Russian Federation for 2006-2008”, “Program for the Development of the Russian Securities Market until 2010”.

Goals and tasks research. Purpose dissertation research is the analysis, generalization and systematization of the main parameters of the Russian stock market and their comparison with the stock markets of developed and developing countries, as well as confirmation or refutation of the hypothesis about the existence of relationships between the national stock market and foreign stock markets when conducting a statistical analysis of the relevant stock indices.

Additionally, the question is raised of developing and testing a methodology for statistically assessing the dependence between stock markets by establishing a statistical relationship between the corresponding stock indices.

Achieving these goals will improve the accuracy of forecast models for the development of the stock market, which will serve as a means of ensuring economic growth, increasing the competitiveness of the Russian economy and the well-being of the population.

In accordance with the stated goals, the following tasks were set and solved:

Analysis and systematization of the main parameters of the Russian stock market;

Comparison of the main parameters of the Russian stock market with similar parameters of the stock markets of developed and developing countries;

Selection of one or more Russian stock indices for comparison with foreign indices;

Selecting a group of world indices for comparison with Russian indices;

Comparing indices and testing the hypothesis about the presence of connections between Russian and world stock indices;

Systematization of existing approaches and development of a methodology for statistical assessment of determining the degree of relationship between stock indices.

The object of the study is the Russian stock market in comparison with foreign stock markets.

Subject of research The Russian stock index RTS, the methodology of its construction and analysis of development trends, comparison with indices of other countries are presented.

The theoretical and methodological basis of the study was the work of domestic and foreign authors on the theory of statistics, stock market statistics, investment analysis, the theory of the functioning of financial markets, and materials of scientific conferences devoted to this topic. The work also used materials from publications in economic periodicals.

In the process of research, the author used methods of scientific abstraction, deduction and induction, statistical methods for analyzing dynamics and studying relationships. Comparative analysis and statistical processing of empirical data arrays were widely used to identify relationships and trends in the behavior of indices.

Scientific novelty dissertation research consists of conducting an up-to-date analysis of the current state of the Russian stock market in comparison with the stock markets of developed and developing countries and statistical testing of the hypothesis about the existence of a relationship between Russian stock indices and stock indices of developed and developing stock markets.

The most significant elements of scientific novelty are as follows:

Carrying out current analysis and generalization of the main parameters of the Russian stock market;

Comparison of the main parameters of the Russian stock market with similar parameters of developed and developing countries;

Carrying out the selection and grouping of stock indices taking into account the geographical criterion and the criterion of the degree of development of the economies of countries;

Carrying out statistical processing of data on Russian and international indices for the period 2003-2005;

Development of a methodology for assessing the degree of interrelation between stock markets through their integrated indicators;

Conducting a statistical assessment of the relationship between the Russian stock index and foreign stock indices.

The main scientific results obtained personally by the author and presented for defense.

An overview of the current state of the Russian stock market and its comparison with the stock markets of developed and developing countries is presented on the basis of extensive statistical material. The most important indicators characterizing the development of the Russian stock market - capitalization and liquidity - are assessed.

Analogies in the development and possibilities of influence of foreign stock markets on the national stock market have been identified. The priorities and prospects for the development of the Russian stock market are formulated.

For the purpose of assessing the possibility of forecasting the Russian stock market based on the dynamics of developed and developing stock markets, in the course of this study, two hypotheses were tested, namely:

There are stable dependencies between the stock markets of different countries that can be analyzed statistically. In the absence of global crisis trends, the dynamics of the Russian stock market are interconnected with the dynamics of the stock markets of developed and developing countries.

A methodological approach to identifying and assessing the relationship between foreign stock indices and the Russian stock index has been developed.

A description and analysis of stock indices are proposed as integrated indicators of the dynamics of stock market development.

A comparative analysis was carried out both of the family of Russian stock indices and of a number of foreign countries, including developed and developing markets. The analysis showed that among the family of Russian stock indices, the dynamics of the indices differ slightly, and the leading ones are considered to be the RTS and MICEX stock indices due to the largest trading volume on the RTS and MICEX stock exchanges. Minor differences in the dynamics of indices are determined by the method of calculating the index and the set of securities included in the index.

To test the hypotheses, 777 daily values and 146 weekly data values for the period 2003–2005 were collected, processed and analyzed for 12 leading stock indices of developed and developing countries, a description of each of the stock indices under consideration was presented and comparative characteristics of the corresponding stock markets were given. The study covers stock indices of Argentina, Brazil, Great Britain, Germany, Hong Kong, China, Korea, Malaysia, Russia, USA, Japan. The choice of this period of time is explained by the fact that during this period the economies of the countries studied did not undergo major changes and were not subject to crises. It is this fact that ensures the homogeneity of the set of values under study, and, consequently, their more objective assessment and analysis.

As part of the study, a statistical analysis of the relationships between the dynamics of stock indices was carried out, with the identification and separate assessment of the dependencies of the Russian RTS index and various stock indices representing both developed and emerging stock markets using correlation and graphical analysis.

We can talk about the presence of a pronounced relationship between the dynamics of the Russian index and the indices of other stock markets over the entire period under consideration, however, we cannot talk about a stable relationship, since the analysis of data for the period under review showed the presence of a fairly close relationship in 2003 and 2005 and an insufficiently close relationship in 2004

In order to increase the accuracy of forecasting the Russian stock market, it is necessary to study more deeply its interaction with the Chinese stock market, the behavior of which is less susceptible to global trends than the dynamics of other markets included in the study, as well as with the markets of Brazil and Argentina, which showed one of the strongest relationships.

The study made it possible to statistically confirm the existence of a relationship between the Russian stock market and the majority of stock markets in developing countries and to refute the hypothesis about the existence of a stable close relationship between the Russian stock market and the stock markets of developed countries.

The results obtained indicate that during the analyzed period, the Russian stock market is largely self-sufficient and its dynamics are only partly determined by the dynamics of foreign stock markets, at the same time, internal factors also play a significant role. This is confirmed by the conclusions drawn from the results of a comparative analysis of the Russian stock market in the first part of the dissertation research. The influence of foreign stock markets exists, but their importance for the Russian stock market should not be overestimated.

Theoretical and practical significance The work is that the theoretical principles developed in the study and the results of applying the methodology for assessing the degree of relationship between stock indices can be used to forecast stock market statistics by executive authorities regulating the securities market (FSFM, Bank of Russia, Ministry of Finance, etc.), trading platforms (MICEX, RTS), self-regulatory organizations (NAUFOR), management and investment companies, analysts and other stock market participants, including private investors.

The results of this study can be used as the basis for economic and forecasting models describing and predicting the dynamics of the Russian stock market.

The developed approach, as well as the analysis of factual data, can be used in the educational process for teaching the disciplines “General Theory of Statistics”, “Economic Statistics”, “Course of Economic Theory”.

Testing and implementation of research results. The main theoretical and methodological developments carried out during the dissertation research were reflected in articles, published collections of scientific papers, and were also reported and discussed at seminars of the Department of Statistics of the State University of Management in 2004-2007.

The results of the dissertation research were used in the work of NAUFOR.

The logic and structure of the dissertation are determined by the stated goals and objectives of the dissertation research.

The work consists of an introduction, three chapters, a conclusion, a list of references and applications.

II. MAIN CONTENT OF THE DISSERTATION

In the introduction the relevance of the dissertation research topic is substantiated, the general state of the problem and the degree of its elaboration are revealed, the goals and objectives of the research are formulated, the object and subject of the research are determined.

First chapter dissertation research “The Russian stock market: main trends and development prospects” is devoted to a description of the current state and analysis of opportunities for further development of the Russian stock market.

An analysis of the composition of the stock market and the structure of stock market statistics is carried out.

For the purposes of the dissertation research, the stock market is selected.

Speaking about exchange infrastructure companies, we can highlight the two largest stock exchanges, RTS and MICEX, which almost completely cover the exchange circulation of securities in Russia. Each of these structures has its own depository, registrar and clearing company to record transactions with securities. As of the beginning of 2008, on the RTS group exchanges, a total of 109 securities of 94 issuers were included in the quotation lists of all levels. As of February 29, 2008, the market capitalization of shares traded on the RTS amounted to $1,261 billion.

The Russian stock market is highly concentrated, both in terms of capitalization and turnover - the 10 most capitalized issuers as of the beginning of 2008 accounted for more than 2/3 of the total capitalization. This indicator is gradually decreasing, and this decrease is very stable. However, it still remains extremely high compared to most foreign stock markets. On the RTS and MICEX, the 10 most liquid shares at the end of 2007 accounted for more than 90% of all turnover.

A characteristic feature of the Russian stock market is the high share of the state in the overall capitalization structure. Five out of ten companies with the largest capitalization, representing about half of the capitalization of the Russian stock market, are directly or indirectly controlled by the state.

Speaking about the industry structure of Russian issuers, it is necessary to note the high concentration of capitalization and turnover in the fuel and energy complex. According to the Center for Stock Market Development, this industry, as of the beginning of 2008, accounts for almost two-thirds of the total capitalization of Russian issuers.

Another significant feature of the Russian stock market is the high concentration of controlling stakes and, as a consequence, the low level of free float. Even for issuers traded on exchanges, these levels are found at 10% or lower.

To compare and analyze the dynamics of the Russian stock market, information on the dynamics of foreign stock markets is provided. For the period 1980-1999. The capitalization of world stock markets has grown almost 13 times, while total GDP has increased by about 2.5 times over the same period. The share of developed markets in total capitalization, which was in 1980

approximately 96%, decreased by 1993 to 88%. In the second half of the 1990s, the growth rates of developed markets turned out to be higher than those of developing markets, and in 1995-1998. There was a relative weakening of the position of emerging markets, as a result of which the share of developed markets increased again - to 91-93% in 1997-1998. 1997-1998 turned out to be very difficult for emerging markets. In the past, the most dynamic and largest of them - Asian - experienced a serious crisis. During 1997, the capitalization of Korea, Malaysia and Thailand decreased by approximately 2/3. The capitalization of the Russian market decreased 15 times from October 1997 to October 1998.

In the period 2000-2002. all major stock indices, the main general indicators of stock prices, decreased almost everywhere. From March 2000 to October 2002

The S&P 500 stock index fell by almost 49%, the NASDAQ by 78%. A stronger decline was observed in the United States only during the Great Depression of 1929-1933. Capitalization

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The last column provides data for Germany for the period 1971-2005; France - 1991-2005;

Luxembourg -1999-2005; Hong Kong - 1991-2005; China - 2002-2005; Russia - 1996-2005

Since there is a close relationship between the dynamics of capitalization growth and stock indices (the correlation coefficient between the two indicators on average across countries is 0.84), the picture of the relationship between GDP growth and stock indices is not much different from the relationship between capitalization and GDP. Over the period under review, on average around the world, 1% growth in GDP accounts for 2.3% growth in indices. In Russia, this figure is about 6.3%, second only to data for Argentina (62.1%) and Turkey (8.6%). In terms of capitalization growth rates, the Russian stock market over the past years has grown three times faster than the world average. During 1997-2005 The ratio of capitalization to GDP in Russia grew faster than in the countries that are Russia's main competitors in the global capital market - Brazil, India, China.

In 2006, Russia came significantly closer to leading positions in the area of stock market liquidity, but, nevertheless, still lags behind. Russia's share in the world stock market in terms of this indicator has been extremely small for a long time - until 2003 it was less than 0.3%. At the end of 2004, the same figure was 0.32%, at the end of 2005 - 0.35% (only countries with stock exchanges that are full members of the World Federation of Exchanges were taken into account). At the end of 2006, there was a significant breakthrough in this indicator - the share of Russian exchanges (MICEX and RTS) in the total global stock exchange turnover increased to 0.84%.

Estimates of the level of free float on the Russian market vary greatly depending on the source of such estimates. According to Standard & Poor's data, the level of free float in Russia during the period from 1996 to 2005 ranged from 35% to 57%, amounting to 43.1% in 2005 (see Table 3).

Table 3.

The level of the share of the company's shares in free float on stock markets by countries with the largest developing financial markets, %

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Calculated based on Standard & Poor's materials.

As can be seen from Table 3, the level of the share of free float in Russia is one of the highest among countries with developing financial markets, which in turn may indicate good prospects for the further development of the Russian stock market.

A barrier to the growth of liquidity of the Russian stock market is the small number of traded shares with a highly liquid market compared to other large emerging markets. Almost the entire turnover - more than 94% in 2004 - was accounted for by the 10 most liquid shares. As of the beginning of 2007, the number of issuers on the Russian stock market was 309, while the US stock market is represented by more than 5,000 issuers, the UK - 2,913 issuers, and Japan - 2,391 issuers.

A comparable number of issuers to the Russian stock market are represented in Brazil

Summarizing the comparative analysis of the Russian stock market presented in the first chapter, we can make a number of statements about the state and prospects for its development.

Firstly, in terms of capitalization, the Russian stock market can become one of the largest in the world, making up, along with the markets of the USA, Great Britain and Japan, the “big four” of the largest national markets. In the future, it has a chance to become the largest emerging market, surpassing in capitalization the markets of Hong Kong, Korea, South Africa, India and other countries with developing financial markets.

Secondly, an important condition for further growth of capitalization is the active entry into the market of investment-attractive companies with high potential for long-term capitalization growth.

Thirdly, a further condition for the development of the stock market is the desire for leadership among emerging markets in terms of the ratio of the volume of stock exchange trading and capitalization. This requires a significant increase in the volume of stock trading on domestic stock exchanges.

In the second chapter dissertation “Stock indices and their meaning” describes the statistics of stock indices, provides a description of the characteristics of the classification and use of stock indices. Both leading Russian stock indices and stock indices of developed and developing countries are considered.

The stock index indicator is the most complete integral assessment of the stock market, since changes in the price of shares of various companies occur mainly synchronously, therefore an idea of the dynamics of prices on the market can be obtained on the basis of the stock index, calculated on the basis of a relatively small number of shares of large and medium-sized companies , which are characterized by the highest trading activity.

The main function assigned to any stock index by its creators is an adequate quantitative assessment of the state of the stock market.

The variety of tasks performed by a stock index obliges it to meet a whole system of requirements:

representativeness, simplicity of the calculation methodology, liquidity of the securities used in the calculation, a sufficient supply of historical data.

The most popular stock indices are built using a capitalization weighting formula. Their main parameter is the number of securities in circulation. In order to bring the structure of the base for calculating the stock index closer to the real structure of the stock market, it is possible to use not the entire volume of securities issued as weights of the securities included in the base for calculating the stock index, but only that share of it that is freely traded on the stock market.

The stability of the base for calculating a stock index is one of the conditions for its effective management, therefore the methods for calculating stock indices assume fairly rare changes in the composition of the base for calculating the index. For example, in Russia the base for calculating the main stock indices is revised once every quarter or half-year, in the USA once every half-year or year.

To calculate most stock indices, stock prices are taken in national currencies.

For the recognition of the index, an important role is played by who calculates the index. Most recognized European indices are calculated by the exchanges themselves. For example, the Vienna Stock Exchange not only calculates a number of indices of European countries, but also organizes trading in derivative instruments on them. The American market equally contains indices calculated by exchanges, information and rating agencies (NYSE Index, AMEX Major Market Index, Russell 3000 Index, Nasdaq Composite, S&P 500). In Russia, many banks, investment companies and news agencies offered their indices to the market, but unlike the indices calculated by trade organizers, they were not widely used.

Indices calculated on stock markets around the world are aimed at reflecting stock market conditions. Among the many indices calculated by exchanges, investment companies and professional non-profit organizations, the most common for the Russian stock market are the RTS index and the MICEX index.

At the end of 2007, the Russian stock market was actually represented by two trading platforms - RTS and MICEX, which formed about 95% of trading turnover. The most famous and widespread world stock indices are Dow Jones, Nasdaq, S&P500, FTSE-100, Nikkei 225.

The dissertation provides a description and methodology for calculating the indices of the main Russian indices - RTS, MICEX, MICEX 10 and others, compares them with other indices, conducts a comparative analysis of both the family of Russian stock indices and a number of foreign countries, including developed and developing markets. The analysis showed that among the family of Russian stock indices, the dynamics of the indices differ slightly, and the leading ones are considered to be the RTS and MICEX stock indices due to the largest trading volume on the RTS and MICEX stock exchanges. Minor differences in the dynamics of indices are determined by the method of calculating the index and the set of securities included in the index.

The question of choosing a stock market index formula is usually resolved in one of the following ways:

The index is calculated as the ratio of simple arithmetic average stock prices (in English literature this type of index is called price-weighted). This type of calculation includes the most widely used American stock indices - the Dow Jones indices;

The index is calculated as the ratio of simple geometric average stock prices.

Such, for example, is the Value Line Composite index;

The index is calculated as the ratio of stock market capitalizations (value-weighted – “weighted by value volume”). This type includes indices Standard & Poors, CAC 40, etc.

The basis for calculating a stock index is a list of securities taken into account when calculating it. The principles for forming the basis for calculating the stock index involve the inclusion in it of the most liquid and representative securities that have gained a strong position in the market.

In addition to Russian ones, characteristics of stock indices of developed countries are given:

USA, UK, Germany, Japan, Hong Kong. Developed countries present indices:

China, Brazil, Argentina, Korea, Malaysia.

In the third chapter dissertation research “Study of the relationship between stock indices” describes the general approach to the formulation and testing of statistical hypotheses, hypotheses of the existence of a statistical relationship between stock indices are formulated, and they are tested.

In the absence of significant restrictions on the movement of capital between different countries, and taking into account the fact that the Russian stock market is part of the global securities market, and foreign investors have the opportunity to invest their funds in Russian securities, it is quite logical to assume that the Russian stock market is interconnected with stock markets of other countries.

As part of testing the hypothesis about the presence or absence of a statistical relationship between the Russian stock market and the stock markets of foreign countries, three options for argumentation can be proposed:

There is no repetition or dependence in the dynamics of stock markets;

Stock markets are correlated, however, this is nothing more than a coincidence;

Markets develop in cycles and there is a dependency between them;

The study was based on the assumption that the dynamics of the stock market are described by the dynamics of the stock index, which most fully represents the securities of this market.

As an argument for the rational basis for the possibility of the existence of correlations between stock markets, we can assume the existence of fundamental interstate connections and certain psychological relationships between markets:

financial relationships, foreign economic relations, political connections, information asymmetry.

For the purpose of assessing the possibility of forecasting the Russian stock market based on the dynamics of developed and developing stock markets, in the course of this study two hypotheses were put forward and investigated, namely:

There are stable dependencies between the stock markets of different countries that can be analyzed statistically, and the dynamics of the Russian stock market depends on the dynamics of the markets of developed markets;

All stock markets form groups depending on the degree of development of the economy to which they belong. There are quite close relationships within groups and between groups.

The study covers stock indices of developed and developing countries:

Argentina, Brazil, UK, Germany, Hong Kong, China, South Korea, Malaysia,

Russia, USA, Japan (see table 4). This set of countries corresponds to the conditions of the study:

It is geographically representative;

The stock markets of the countries under study should be the most attractive for investors in each region;

The resulting set includes both developed and developing countries.

Table 4.

List of indices included in the study.

Country Index Country Index

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As part of the study, a statistical analysis of the relationships between the dynamics of stock indices was carried out, with the identification and separate assessment of the dependencies of the Russian RTS index and various stock indices representing both developed and developing stock markets using correlation and graphical analysis.

The dynamics of stock indices of developed countries in comparison with the RTS index is presented in Fig. 1. The dynamics of stock indices of developing countries in comparison with the RTS index are presented in Fig. 2.

From the analysis of the graph it follows that all stock indices (with the exception of the Chinese SSEC index) are characterized not only by a long-term upward trend, but also by an increasing trend in growth rates. It is interesting to note that the behavior of some indices is similar both over the entire time period and at local time intervals.

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Based on the dynamics of growth rates of index values, we can preliminary identify three groups of countries whose indices demonstrate the most similar behavior:

A group that includes stock indices of Russia, Argentina and Brazil;

Group of indices of developed countries;

A group that brings together developing countries in the Asian region.

To test the hypothesis, a correlation analysis of daily values of stock indices was carried out, the results of which are presented in Table 5. In addition to the analysis of daily values, the average weekly values of the same group of stock indices were also analyzed. The results of the analysis are presented in Table 6.

As follows from the data in Tables 5 and 6, almost all values of the correlation coefficients between modulo indices exceed 0.8. The exception is the coefficient characterizing the relationship with the Chinese stock index. It is interesting to note that there is an inverse relationship between the Chinese SSEC index and all other indices.

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Table 9.

Values of correlation coefficients of stock indices for 2005.

DAX DJA 65 FTSE 100 Bovespa Nikkei Merval RTS Nasdaq KS11 KLSE SSEC HSI DAX 1 DJA 65 0.810 1 FTSE 100 0.964 0.825 1 Bovespa 0.513 0.720 0.588 1 Nikkei 0.772 0.780 0.806 0.837 1 Merval 0.684 0.768 0.734 0.793 0.728 1 RTS 0.884 0.744 0.907 0.724 0.892 0.751 1 Nasdaq 0.813 0.762 0.774 0.331 0.606 0.577 0.589 1 KS11 0.936 0.838 0.960 0.704 0.875 0.770 0.948 0.698 1 KLSE 0.508 0.455 0.51 7 0.180 0.457 0.285 0.383 0.715 0.458 1 SSEC -0.378 -0.050 -0.303 0.340 0.146 0.032 -0.151 -0.239 -0.210 0.070 1 HSI 0.919 0.762 0.920 0.569 0.777 0.696 0.890 0.738 0.905 0.606 -0.210 1 Taking into account the fact that it was not possible to establish the presence of a stable close relationship between individual indices, further study of the interrelations of stock markets is possible through the study not of indices as such, but of their groups uniting markets with the closest trends. As a general indicator of the dynamics of markets united in the same group, a group index is used, which is the geometric mean of the daily index values, weighted by the size of the economy of the country they represent. Thus, it is believed that the country with the highest GDP in the group will have the greatest influence on the dynamics of the group index. The main purpose of grouping indices of various stock markets was to level out the individual characteristics of each market separately and to identify general development trends between groups.

Based on the preliminary results, an approach to grouping stock indices was proposed, groupings were carried out and group indices were constructed.

For the constructed group indices, again, using graphical and correlation analysis, the relationships between the groups of indices were assessed.

The results of the study allow us to draw the following conclusions:

General trends are observed in the dynamics of stock indices of various markets;

General local trends are observed in the behavior of the indices under consideration;

Identification of general patterns and trends allows us to form the following groups of countries, in accordance with the degree of similarity of the dynamics of the indices: Russia Argentina - Brazil - China, Great Britain - Germany - USA - Japan, Hong Kong - Korea - Malaysia;

Stable relationships are observed within index groups;

There are strong dependencies with close connections between groups of equity markets;

In order to increase the accuracy of forecasting the Russian stock market, it is necessary to study more deeply its interaction with the Chinese stock market, whose behavior is less susceptible to global trends than the dynamics of other markets included in the study, as well as with the markets of Brazil and Argentina, which showed one of the strongest relationships.

The study made it possible to statistically confirm the existence of a relationship between the Russian stock market and the majority of stock markets in developing countries and to refute the existence of a close, stable connection between the Russian stock market and stock markets of developed countries.

The results obtained indicate that the Russian stock market is largely self-sufficient and its dynamics are only partly determined by the dynamics of foreign stock markets. Also, the dynamics are significantly influenced by internal factors, such as corporate news of companies, internal political events, dynamics in commodity markets, speculative actions of participants and the use of insider information also play an important role. This is confirmed by the conclusions drawn from the results of a comparative analysis of the Russian stock market in the first part of the dissertation research.

In custody The dissertation formulated the main conclusions and results of the research, showing the scientific novelty and practical significance of the work.

III. BASIC POINTS DISSERTATION WORK

REFLECTED IN THE FOLLOWING SCIENTIFIC PUBLICATIONS

1. Uchuvatkin L.V. Forecasting the interest rate // Bulletin of scientific works of the Free Economic Society of Russia, State University of Ukraine. - M., 2004. – pp. 122-124. – 0.2 p.l.

2. Uchuvatkin L.V. Testing hypotheses of statistical dependence of stock markets // Reforms in Russia and management problems - 2006: Materials of the 21st All-Russian Scientific Conference of Young Scientists and Students, State University of Management. - M., 2006. - pp. 74-75. – 0.1 p.l.

3. Uchuvatkin L.V. Price risk management // Gas industry No. 7, Gazoil press. – M.2006. – p.20-21. – 0.1 p.l.

4. Uchuvatkin L.V. Testing hypotheses of statistical dependence of stock markets // Bulletin of the University No. 3 (21), State University of Management. – M. 2007. – p. 212-214. – 0.2 p.l.

5. Efimova M.R. Uchuvatkin L.V. Analysis of relationships between stock indices // Bulletin of the University No. 1 (10), State University of Education. – M. 2008. – p. 206-209. – 0.3 p.l.

6. Uchuvatkin L.V. Analysis of trends in the development of Russian and foreign stock markets // Bulletin of the University No. 1 (10), State University of Education. – M. 2008. – p. 210-214. – 0.3 p.l.

7. Uchuvatkin L.V. Prerequisites for studying the dependence between stock indices // Bulletin of the University No. 2 (11), State University of Education. – M. 2008. – p. 199-203. – 0.3 p.l.

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"STATISTICAL ANALYSIS OF RELATIONSHIP OF STOCK INDICES..."

As a manuscript

UCHUVATKIN LEONID VASILIEVICH

STATISTICAL ANALYSIS OF RELATIONSHIPS

STOCK INDICES

Specialty 08.00.12 – “Accounting, Statistics”

dissertations for an academic degree

Candidate of Economic Sciences