Stock indices functions, calculation methods and application. Relationship between indices Stock indices of other countries and their dynamics

20.11.2023

Thesis

Abstract of the dissertation on the topic "Statistical analysis of relationships between stock indices"

As a manuscript

UCHUVAISIN LEONID VASILIEVICH

STATISTICAL ANALYSIS OF RELATIONSHIP OF STOCK INDICES

Specialty 08.00.12 - Accounting, statistics

The dissertation work was submitted at the Department of Statistics of the State University of Management

Scientific supervisor: Doctor of Economic Sciences, Professor

Efimova Marina Romanovna

Official opponents: Doctor of Economic Sciences, Professor

Mkhitaryan Vladimir Sergeevich,

Candidate of Economic Sciences, Professor Safronova Vera Petrovna

Leading organization: Moscow State University

named after M. V. Lomonosov.

The defense will take place on May 19, 2008 at 12.00 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 Administration

dissertation council L/

Candidate of Economic Sciences, Associate Professor L V Tokun

I. GENERAL CHARACTERISTICS OF THE DISSERTATION WORK

Relevance of the research topic. 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 developing market. It is characterized, on the one hand, by high rates of positive quantitative and qualitative changes, on the other hand, the presence of numerous problems that are complex in nature and impede its more efficient development. The Russian stock market has already begun to fulfill 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 question is evidenced, for example, by the large share of foreign partners in the total volume of attracting investments 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 relationship between the Russian and foreign stock 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 dependencies 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 world economy. One way to take into account the influence of foreign markets can be to take into account the presence of interrelations between the national and foreign stock markets - tracking the close relationship 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 conditions of the relevant 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 to the national market in order to more accurately predict the development of the national economy

Determining the existence of a 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, confirming or refuting the fact of the relationship between stock markets will allow us to more accurately analyze and forecast the global and national stock market, and identify industries -leaders, based on the structure of stock indices, determine the individual characteristics of individual shares

The degree of development of the research topic Until 1990, individual issues related to the stock market were addressed in the works of B. I. Alekhin, A. V. Anikin, E. I. 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 were published on the securities market

Books and articles by B I Alekhin, S A Aivazyan, A I Basov, A I Belzetsky, V A Galanov, V I Degtyareva, E V Dorokhov, I I Eliseeva, M R are devoted to various aspects of statistical analysis and, in particular, the stock market Efimova, O A Kandinskaya, V I Kolesnikova, A A Kozlov, O I Lavrushin, V D Milovidov, V S Mkhitaryan, I N Platonova, B B Rubtsova, A V Semenkova, B M Cheskidova, E V Chirkova, A A Erlich, A B Feldman Some of the works are textbooks and do not deeply cover the issues and problems of the stock market, some are translations of foreign literature devoted to the stock market. Among the translated literature that can be classified as classic on the stock market, it is worth noting the books by Sharp, J Van Horn, R Braley and S Myers, T Whatsham 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 questions 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 the 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), an 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 Channels for the spread of financial infection, TBAIG and I Godfan Russian default and financial infection in

Brazil, K Forbes and R Rigobon Measuring financial contagion Conceptual and empirical aspects

When carrying out the dissertation research, the author relies 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 objectives of the study. The purpose of the dissertation research is to analyze, summarize and systematize the main parameters of the Russian stock market and compare them with the stock markets of developed and developing countries, as well as confirm or refute 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 of developing and testing a methodology for statistical assessment of the relationship between stock markets is raised 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 relationships 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

The subject of the study is the Russian RTS stock index, the methodology of its construction and analysis of development trends, comparison with indices of other countries

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, theory of the functioning of financial markets, 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 of 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

The scientific novelty of the dissertation research consists in 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

Conducting an up-to-date analysis and summarizing 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,

Carrying out 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 is presented and its comparison with the stock markets of developed and developing countries based on 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. Priorities and prospects for the development of the Russian stock market have been 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

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 is proposed as integrated indicators of the dynamics of stock market development

A comparative analysis was carried out 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 volume trading 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 were collected, processed and analyzed for the period 2003 - 2005 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 provided. The study covers stock markets 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 strong changes and were not subject to crises. This fact ensures the homogeneity of the population studied values, and, consequently, a more objective assessment and analysis of them

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 connection, since the analysis of data for the period under review showed the presence of a fairly close connection in 2003 and 2005 and an insufficiently close connection in 2004 G

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

indices Russia - Argentina - Brazil - China, UK - Germany - USA - Japan, Hong Kong - Korea - Malaysia,

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 refute the hypothesis about the existence of a stable close connection 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 also 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

The theoretical and practical significance of the work lies in the fact that the theoretical provisions 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 and 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 and ZAO PricewaterhouseCoopers Russia B V

On the topic of the dissertation, 7 scientific papers were published with a total volume of 1.5 pp. 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 WORK The introduction substantiates the relevance of the topic of the dissertation research, reveals the general state of the problem and the degree of its elaboration, formulates the goals and objectives of the research, defines the object and subject of the research

The first chapter of the dissertation research 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 for recording 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 1261 billion US dollars

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 is 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 of the ten companies with the largest capitalization, accounting for about half of the capitalization of the Russian stock market, are directly or indirectly under state control

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 among issuers traded on stock exchanges, these levels are 10% or lower.

To compare and analyze the dynamics of the Russian stock market, information is provided on the dynamics of foreign stock markets for the period 1980-1999

the capitalization of world stock markets grew almost 13 times, while total GDP increased over the same period by approximately 2.5 times. The share of developed markets in total capitalization, which was approximately 96% in 1980, decreased by 1993 to 88%. In the second half of the 1990s, the growth rates of developed markets turned out to be higher than developing ones, 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 years turned out to be very difficult for emerging markets. In the past, the most dynamic and largest of them, the Asian ones, experienced a serious crisis. In 1997, the capitalization of Korea, Malaysia and Thailand decreased by approximately 2/3. The capitalization of the Russian market decreased by 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%, NASDAQ by 78%. A stronger drop was observed in the United States only during the period Great Depression 1929-1933 The capitalization of the American market decreased by more than 7 trillion dollars, which is equal to approximately 2/3 of annual GDP

The period 2002-2007 was characterized by growth in stock indices. Particularly significant growth was demonstrated by shares of emerging markets. The end of 2007 showed the beginning of a significant decline in the US economy, and at the beginning of 2008, following US stock indices, stock indices of other developing and developed countries began to decline

The first chapter also provides an analysis and description of the main categories of participants in the Russian stock market, investors, regulators, and stock market infrastructure. After a description of the environment and main indicators of the stock market, a comparative analysis of its main characteristics with the stock markets of developed and developing countries is given.

As of the beginning of 2007, in terms of absolute capitalization, Russia ranked 13th, behind 11 countries with developed financial markets and one country (Hong Kong) with a developing financial market. This conclusion can be drawn based on data on the capitalization of resident companies on the world's largest stock exchanges (see table 1)

Considering that, according to a number of classifications, Hong Kong is classified as a country with developed financial markets, we can say that Russia has become the largest emerging market in the world by capitalization. If at the end of 2005, Russia ranked 18th in the world, behind 11 countries with developed financial markets and 6 countries with developing financial markets, then at the end of 2006 it was already the ninth The lion's share of world capitalization - from 62 to 67% - is provided by only three countries - the USA, Japan, Great Britain And the seven largest countries account for over 75% of world capitalization The absolute leader in capitalization is the United States (from 30 to 51% of global capitalization over the last two decades)

Table 1

Capitalization of world stock markets (at the end of the year, billions of dollars)

Country 2000 2001 2002 2003 2004 2005 2006

Australia 372.8 375 1,380 1,585 4,776.4 804 0 10959

Great Britain 25770 2149.5 1765.2 24601 2865.2 3058.2 3794 3

Germany 1270.2 10717 686 0 1079.0 1194.5 12211 16376

Spain 504.2 468.2 461 7,726.2 940 7,959 9,1322.9

Italy 768.4 5274 162.0 6148 789 6 7981 10265

Canada 8421 615.3 579 7 888 7 11775 1482.2 17007

USA 151040 13983.8 9065 5 14266.0 16323.5 17000.9

France 1446.6 1174.3 936 4 1355.9 15591 17127

Japan 31572 2264 5 2069 3 29531 3557 7 4572 9 46141

All developed markets 296306 25300 8 185816 28701 8 33264 2 36459 9

Argentina 45.8 33.5 16.6 35 0 40.6 476 79.3

Brazil 203.6 186.2 126.8 226 4 3303 4746 7111

India 142.8 111.0 125.5 278 7,386 3,5531 811.9

Indonesia 26.8 23.0 301,547 73.3 814,138.9

Kazakhstan 13 1.2 1 3 24 39 90

China 5910 5300 463 5 513.0 4477 4019 9175

China (extended) 5810 524 0 4631 6812 639 8 780 8 24361

Korea 1484 233.9 246 9 3251 419.5 718.0 835188

Mexico 125.2 126.3 103.9 122.5 171.9 2391 348.345

Poland 313 260 26.4 374 715 936 149.054

Russia 410 82.9 1147 1970 247 7 531 0 105718

Saudi Arabia 678 73.2 749 1573 306.2 646.2 326 869

Taiwan 2476 292.6 2612 3791 4414 476.0 651141

Türkiye 697 47 2 34.2 68 4 983 161.5 162.398

Ukraine 1.9 1 5 4.4 47 11.8 29.2

South Africa 204 3 1475 162.0 260 7 4425 549 3 715.625

All emerging markets 24747 2425 23187 3504 4600 9 6472

Whole world 321054 27725.8 20900 3 32205 9 378651 42931 9

Compiled from Emerging Stock Markets Factbook, IFC, Washington 1995-1998, Global Stock Markets Factbook 2004 S&P, N Y,2004 Emerging Stock Markets Review December 2005 S&P 2005, S&P, 2006 S&P, 2007, World Federation of Exchanges database (www world-exchanges org), FEAS Yearbook (www feas org), exchange data

Currently, Russia's share in world capitalization is small, although its growth trend is noticeable if we take into account the 48 largest national markets, Russia's share in 2006 was 1.9%, while in 2005 Russia's share was 1.2%, and in 2004 - 0.74%

At the end of 2005, Russia entered the top ten countries with emerging markets with the highest ratio of capitalization to GDP. Table 2 provides comparative data for a number of countries, indicating the presence of significant differences in the ratio of capitalization growth rates to GDP

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 ratio of capitalization and GDP. During the period under review, the world average was 1% of GDP growth accounts for 2.3% of index growth. 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 grew three times faster than the world average. During 1997-2005, the ratio of capitalization and GDP in Russia grew faster than in countries that

which are Russia's main competitors in the global capital market - Brazil, India, China

table 2

Comparison of average annual growth rates of GDP and stock indices for the period 1961-2005

Average annual growth rate %

Country 1961-19701Т 1971-1980 1981-1990 1991 2000 2001-2005 |Т 1961-2005

GDP at current prices 705 1040 763 5 40 494 732

stock index 2 43 2.34 12 68 15 20 -0 01 726

Index growth/GDP growth 0.34 0.23 1 ee 2.81 0.00 0.99

Great Britain

GDP at current prices 5 54 16.24 6 96 3.98 9.37 8.31

stock index 3.57 9.81 15 60 10 95 -2.27 8.62

Index growth/GDP growth 064 0.60 2 24 2 75 -0.24 104

GDP at current prices 1647 18.71 11 86 4 83 -008 1152

stock index 6 04 12 55 17 65 X21252 -2.35 732

Index growth/GDP growth 037 0.67 1 49 0 44 2848 0.64

Germany

GDP at current prices 9 99 16.20 771 2 92 8.28 885

stock index 0 95 1419 11 23 -6.06 6.67

Index growth/GDP growth 0.06 1 84 3 85 0 73 0 75

GDP at current prices 9 07 1738 7 07 0 98 1015 403

Stock index 14.29 -549,770

Index growth/GDP growth 14 64 -0 54 1.91

Luxembourg

GDP at current prices 785 1576 10 74 6 07 13.54 10.22

stock index 6 74 10.39

Index growth/GDP growth 0.50 102

GDP at current prices 576 11.83 6 66 401 1147 755

stock index 139 4.58 24 31 21 73 19 32 13 70

Index growth/GDP growth 0.24 0.39 3 85 5 42 1.68 1.81

GDP at current prices 12.85 22.67 10.51 8.65 112 614

Stock index 24 27 198 16.84

Index growth/GDP growth 2 80 177 2 74

GDP at current prices 5 16 24 35 9 59

Stock index 50 19 34 99 42 59

Index growth/GDP growth 9 72 144 4 44

GDP at current prices 2 79 1147 15.84 1721

Stock index 7 74

Index growth/GDP growth -0 45

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

In 2006, Russia came significantly closer to the leading position in the field of stock market liquidity, but, nevertheless, it still lags behind. Russia's share in the world stock market according to this indicator has long been extremely small - 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 the share of free float on the Russian market vary greatly depending on the source of such an estimate. According to data from SSIA, the level of the share of free float in Russia during the period from 1996 to 2005 ranged from 35% to 57%, amounting to 2005 43.1% (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, %

Country 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Brazil 43 7 40.3 40 9 40.3 45.9 35.2 372 395 39 3 43 2

India 414 39.6 473 501 49.4 46 7 372 33 4 32.2 340

China 341 242 227 23 7 24 5 211 24 4 23 4 278 261

Mexico 678 696 73.2 76 9 634 491 48.5 51.3 48 4 49 7

Poland 68.3 514 39.8 39 8 52.0 33.2 32.2 31.5 343 35.6

Russia 51.8 42.7 36.7 35.0 56.8 51.0 45.9 44.0 47.7 43.1

Taiwan 653 53.2 53.2 61 4 60.7 60.9 551 58.9 50.2 64.0

Turkey 542 55.2 504 521 55.1 412 39 0 375 24 5 26.9

South Africa 357 38.3 40 3 42.2 42.2 33.6 40 2 379 341 35.6

South Korea 52 7,546 50.5 46 0,541 60.8 641 650 591 59.5

Calculated based on materials 51apdags1&Roog"z

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 shares traded in 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, Japan - 2,391 issuers. A comparable number of issuers to the Russian stock market is represented in Brazil - 347

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 the markets of Hong Kong, Korea, South Africa, India and other emerging 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 exchange trading in shares and capitalization. This requires a significant increase in the volume of trading in shares on domestic stock exchanges

The second chapter of the dissertation “Stock indices and their meaning” describes the statistics of stock indices, describes 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 comprehensive 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 for representativeness, simplicity of calculation methods, liquidity of securities used in the calculation, and a sufficient supply of historical data

The most popular stock indices are built according to the capitalization weighting formula. Their main parameter is the number of securities in circulation. To bring the structure of the stock index calculation base closer to the real structure of the stock market, it is possible to use not all of the securities included in the stock index calculation base as weights. volume, issue of securities, 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 require 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 a year, in the USA once every six months or year

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

For the recognition of an 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. In the American market, indices calculated by exchanges are equally present. 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 widely used they didn't find

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

in fact, it is 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 the indices are determined by the method of calculating the index and the set of securities included to 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 the English literature this type of index is called price-weighted - 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. This, 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 of forming the basis for calculating a stock index assume 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: the USA, Great Britain, Germany, Japan, Hong Kong. Developed countries present indices of China, Brazil, Argentina, Korea, Malaysia

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

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 repeatability or dependence in the dynamics of stock markets,

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

Markets develop cyclically, and there is a relationship between them. The study was based on the assumption that the dynamics of the stock market

described by the dynamics of the stock index, which best 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 presence 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 are amenable to statistical analysis. 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

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

The study covers stock indices of developed and developing countries Argentina, Brazil, Great Britain, 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 representative from a geographical point of view,

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

Russia RTS China 58EU

Argentina Megga! South Korea KB11

Brazil Votevra Malaysia Quie

Great Britain RT8E100 USA ША65 ЯБЯЯ

Germany EAH Japan No.Yse; 225

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 are 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 BZES index) are characterized not only by a long-term growth trend, but also by a tendency to increase growth rates. It is interesting to note that the behavior of some indices is similar both over the entire period of time and at local time periods

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 uniting 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 the indices exceed 0.8 in absolute value. 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 BvES index and all other indices

Table 5

Values of correlation coefficients for 2003-2005, calculated from daily values of stock indices

DAX DJA65 FTSE 00 Bovespa Nikkei Merval PTC Nasdaq KS11 KLSE SSEC HSI

FTSE 100 0 971 0 97

Bovespa 0 948 0.974 0 934

Nikkei 0.915 0.892 0.863 0.893

Merval 0 939 0 955 0 952 0.957 0.846 1

PTC 0.911 0.874 0.906 0.832 0.903 0.897 1

Nasdaq 0 937 0.921 0.873 0.904 0 905 0.863 0.852 1

KSI I 0964 0.933 0966 0 92 0.884 0.952 0 938 0.865 1

KLSE 0.896 0 912 0.871 0.905 0.876 0.885 0.827 0.876 0.863 1

SSEC 0.571 -0.625 -0.677 -0.542 -0418 -0.587 0434 X0.397 0.585 -0.494 1

HSI 0.958 0 961 0.93 0 97 0.899 0.944 0.888 0 927 0.934 092 0.545 1

Fig. 1 Comparative dynamics of the RTS index and stock indices of developed countries in 2003-2005

01 01 03 01 04 03 01 07 03 01 10 03 01 01 04 01 04 04 01 07 04 01 10 04 01 01 05 01 04 05 01 07 05 01 10 05

Fig. 2 Comparative dynamics of the RTS index and stock indices of developing countries in 2003-2005

Table 6

Values of correlation coefficients for 2003-2005, calculated using ____weekly average values of stock indices

DAX DJA 65 FTSE 100 Bovespa Nikkei Merval RGS Nasdaq KS11 KLSE SSEC НЯ

PTSE 100 0.97 0.97 1.00

Bovespa 095 097 094 1.00

Nikkei 0.92 0 89 0.87 0.90 100

Merval 0.94 0.96 0.95 0.96 0.85 OO

MG 0.91 0.88 0.91 0.89 0.92 0.89

Micex 0.91 0.88 0.91 0.89 0.91 0.89

RTS 0 91 0.87 0 91 0.88 0.91 0.90 1.00

Nasdaq 0.94 0 92 0.87 0.90 090 0.87 0.85 100

KS11 097 0.93 0.97 0.92 0 89 0.95 094 0.86 100

KLSE Q90 0.92 o,&8 091 087 0.88 0.81 0.87 0.86 1.00

SSEC -0.58 -0.63 -0.68 -0.55 042 0.59 044 -0.40 -0.59 -0.53 1.00

HSI 096 0.96 0.93 0.97 0 90 0.95 0.89 0.93 0.93 0.92 -0.55 100

The Russian RTS index is characterized by a very high degree of dependence with all indices with the exception of the Chinese 8BES. Thus, the minimum value of the correlation coefficient is 0.827 (between the Russian and Malaysian indices). It should be noted that changes in the values of the RTS and other indices have always been unidirectional, if we consider the period 2003-2005 years together However, if you analyze the values of stock indices for each year separately, you can see that the signs of a close relationship are violated. In 2004, the correlation coefficients between stock indices show a weak relationship (see tables 7,8,9)

Table 7

Values of correlation coefficients of stock indices for 2003

DAX DJA 65 FTSE 100 Bovespa Nikkei Merval PTC Nasdaq KS11 KLSE SSEC HSI

FTSE 100 0.950 0 973 1

Bovespa 0.904 0.934 0.888 1

Nikkei 0.863 0.859 0.811 0 793 1

Merval 0.895 0 920 0.870 0.961 0.788 1

PTC 0.837 0.890 0.872 0.837 0.868 0.841 1

Nasdaq 0,957 0,974 0,946 0,927 0.906 0,922 0.926 1

KSll 0.975 0.950 0.919 0.893 0.919 0.887 0.845 0.952 1

KLSE 0901 0.897 0 836 0.887 0 933 0.905 0.847 0 932 0.947 1

SSEC -0 497 -0.495 0457 -0.494 -0657 -0448 -0473 -0.539 0.568 -0.606 1

HSI 0.894 0905 0 844 0.941 0.903 0 923 0332 0.921 0 932 0.959 -0.660 1

Table 8

Values of correlation coefficients of stock indices for 2004

DAX DJA65 FTSE100 Bovespa Nikkei Merval PTC Nasdaq KS11 KLSE SSEC HSI

FTSE100 0.688 0.861 1

Bovespa 0.574 0.805 0 645 1

Nikkei 0.027 -0.122 0.047 -0207 1

Merval 0.596 0.579 0.631 0.687 -0.059 1

PTC 0.177 -0.053 0193 0.070 0.354 0.541 1

Nasdaq 0.904 0.593 0.520 0.477 0.004 0.620 0.211 1

KS11 0.612 0.355 0 519 0474 0143 0757 0.696 0.572 l

KLSE 0.319 0418 0420 0369 0.060 0.378 0.181 0.249 0.315 I

SSEC -0.037 -0.601 -0.479 -0404 0.234 0071 0 539 0153 0343 -0128 1

HSI 0706 0749 0.654 0.854 -0337 0 741 0167 0.627 0.634 0 395 -0184 1

Table 9

Values of correlation coefficients of stock indices for 2005

DAX DJA65 FTSE 100 Bovespa Nikkei Merval PTC Nasdaq KSU KLSE SSEC HSI

FTSE 100 0.964 0.825 1

Bovespa 0.513 0.720 0.588 1

Nikkei 0 772 0780 0.806 0.837 1

Merval 0.684 0 768 0.734 0.793 0 728 1

PTC 0.884 0.744 0907 0724 0.892 0751\

Nasdaq 0.813 0.762 0.774 0331 0.606 0.577 0.589 1

KSU 0 936 0.838 0960 0704 0.875 0 770 0 948 0 698 1

KLSE 0.508 0 455 0.517 0.180 0.457 0.285 0 383 0715 0458 1

SSEC -0.378 -0.050 -0.303 0340 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 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, the country with the largest GDP in the group is considered to have the greatest influence on the dynamics of the group index Main The 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 obtained, 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 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,

There are stable relationships within index groups,

There are stable dependencies with close connections between groups of stock 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 disprove the existence of a close, stable connection between the Russian stock market and stock markets in 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. Internal factors, such as corporate news of companies, internal political events, dynamics in commodity markets, also play an important role. and speculative actions of participants, the use of insider information. 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

At the conclusion of the dissertation, the main conclusions and results of the research are formulated, the scientific novelty and practical significance of the work is shown.

III. THE BASIC PROVISIONS OF THE DISSERTATION WORK ARE 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 Education - 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 - M2006 - from 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 Education - M 2007 - p. 212-214 -0.2pl

5 Efimova M R Uchuvatkin L V Analysis of relationships between stock indices // University Bulletin No. 10 (10), State University of Education and Science 2007 - from 297-300 -0.3pl

6 Uchuvatkin L.V. Analysis of trends in the development of Russian and foreign stock markets // Vestnik of the University No. 10 (10), State University of Education - M 2007 - from 300-302 -0.3pl

7 Uchuvatkin L V Prerequisites for studying the dependence between stock indices // Bulletin of the University No. 1 (11), State University of Education - M 2008 - p. 153-156 -0.3 p l

Dissertation: content author of the dissertation research: candidate of economic sciences, Uchuvatkin, Leonid Vasilievich

Introduction.

Chapter 1 Russian stock market: main trends and development prospects.

1.1 Definition of the stock market and its formation.

1.2 Main participants of the Russian stock market: issuers, investors, exchange infrastructure, regulator.

1.3 Comparative assessment of the main parameters of the Russian stock market.

Chapter 2. Stock indices, their meaning.

2.1 Description of characteristics, classification and use of stock indices.

2.2 Methodology for calculating stock indices.

2.3 Description of Russian and world stock indices.

Chapter 3. Study of the relationship between stock indices.

3.1 Approach to formulating and testing hypotheses of the statistical relationship between stock indices.

3.2 Formation of a hypothesis about the dependence of stock indices.

3.3 Testing the hypothesis about the existence of a relationship between stock indices.

Dissertation: introduction to economics, on the topic "Statistical analysis of the relationships between stock indices"

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. Currently, most of the assets of developed countries of the world are embodied in corporate securities. Trends in developing countries are aimed at strengthening the role of the stock market as a source of raising funds.

Stock market indicators attract the attention of business circles and are important indicators of the state of the country's economy. Securities markets are one of the key mechanisms for attracting financial resources for investment.

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.

According to most quantitative and qualitative indicators, the Russian stock market is a leader among emerging markets. At the same time, in many other qualitative indicators (market liquidity, dividend yield, number of traded companies, etc.), a certain lag remains behind the leading emerging markets, and even more so, from developed markets.

The Russian stock market has already begun to fulfill 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 markets in the total volume of investment attracted by Russian companies and in the total volume of transactions with Russian shares. The formation of an effective system for regulating the stock market, based on the best global experience in this area, has not been completed.

In the context of globalization of the world economy, the level of competitiveness is especially important for national financial markets, since the level of globalization in the financial sector is incomparably higher than in other sectors of the world socio-economic system.

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 interrelation between the Russian stock market and foreign stock 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 of the possible ways to take into account the influence of foreign markets is to take into account the dependence of the national stock market on foreign markets. Establishing relationships 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 the stock market are stock indices, so assessing their relationships will give an idea of the degree of influence of individual foreign markets on the national stock market in order to more accurately predict the development of the national economy.

Moreover, over the past few decades, stock indices have ceased to function solely as indicators of the stock market, and have themselves become commodities. Trading in stock indices is one of the largest segments of the financial market on stock exchanges in Europe and the USA.

In the context of the globalization of the world economy, the growth in the number of traded instruments and trading volumes, the importance of stock indices as general indicators of the state and dynamics of development of financial markets is increasing. Stock indices represent average characteristics of price parameters of various sets of securities. They perform both an information function for market analysis and investment decision-making, and an instrument-forming function, acting as the underlying asset for futures, options, and index investment funds.

Currently, dozens of different indices of the Russian stock market are calculated by both Russian and international organizations: stock exchanges, investment agencies, investment banks, brokerage firms, etc. The most widely used for the stock market today are the RTS index and the MICEX index.

The relevance of the research topic is due to the need to analyze the current state and summarize information about the Russian stock market, its comparison with the stock markets of developed and developing countries.

The relevance of developing conceptual issues of development of the Russian stock market for the medium term is associated with two circumstances:

The objective need to lengthen the development forecasting period;

The deepening globalization of the world capital market, which places increased demands on the competitiveness of the national financial market.

Currently, government agencies have reached a three-year horizon for developing development programs. Annual budgets are being replaced by a three-year financial plan. In the financial sector, there are two main program documents containing development goals (and objectives) and measures to achieve them - the Strategy for the Development of the Financial Market of the Russian Federation for 2006-2008 and the Strategy for the Development of the Banking Sector of the Russian Federation for the period until 2008 - have a three-year horizon . A three-year period is considered a medium-term perspective when it comes to developing socio-economic development programs.

In this regard, a more detailed analysis of the dynamics and environment of the national stock market, taking into account external influences on market dynamics, and the development of a systematic approach to assessing the relationship between the national stock market and foreign stock markets is required.

As quotes confirming the influence of foreign stock markets on the Russian market, we can cite the words of V.D. Milovidov, Assistant to the Prime Minister of the Russian Federation: In fact, there are no longer developed markets and developing ones. There is already a single financial market. Another thing is that the individual segments of this financial market are not consistent with each other in terms of the degree of risk, income, mutual penetration and the ability to constantly transfer capital from one segment to another and the words of S.V. Lyalin, CEO of the analytical and information agency Cbonds: The trend is that there may soon be no national markets left as such. There will only remain international markets on which securities of various issuers are traded.

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.

Determining estimates of the relationship between the Russian stock market and foreign markets will make it possible to build more substantiated forecasts for the development of the national economy and the Russian stock market. For private investors, confirmation or refutation of the fact of the relationship 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.

Degree of development of the problem

This work is one of a relatively small number of attempts to conduct a comprehensive analysis of changes in the operating conditions of the Russian stock market and determine the factors influencing its dynamics through the influence of world stock markets, which develops and clarifies the problem of forecasting the Russian stock market. Examples of previous research are relatively few.

Until 1990, certain issues related to the stock market were addressed in the works of B.I. Alekhina, A.V. Anikina, E.Ya. Bregel, B.C. Volynsky, I.S. Korolev, JI.H. Krasavina, G.G. Matyukhina, M.A. Portnoy, D.V. Smyslov, V.M. Sokolinsky, V.V. Sushchenko, Yu.S. Stolyarova, B.G. Fedorova, L.I. Frey 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 classic 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 on individual stock market instruments and features of the issue of securities, while issues remain insufficiently disclosed, covering comparative characteristics and a comparative description of the Russian stock market in comparison with foreign analogues, issues including quantitative assessments of the degree of interrelation between Russian and foreign stock markets. Approaches to forecasting the Russian stock market, including through relationships with foreign markets, are not sufficiently disclosed.

Among the works examining the issues of statistics of the Russian stock market, several documents can be identified that determine the development of the stock market on a national scale: Development Strategy of the Russian Federation until 2010, Development Strategy of the Financial Market of the Russian Federation for 2006-2008, Program for the Development of the Russian Securities Market until 2010 of the year.

In 2007, under the auspices of the National Association of Stock Market Participants, a group of scientists, researchers and analysts developed a project for the forecast development of the Russian stock market: An ideal model of the Russian stock market for the medium term (until 2015). 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 Channels for the spread of financial infection, T. Baig and I. Godfan Russian default and financial infection to Brazil, K. Forbes and R. Rigobon Measuring financial contagion. Conceptual and empirical aspects.

Purpose and objectives of the study

The purpose of the dissertation research is to analyze, summarize and systematize the main parameters of the Russian stock market and compare them with the stock markets of developed and developing countries, as well as confirm or refute 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 of developing and testing a methodology for statistically assessing the dependence between stock markets is raised by establishing a statistical relationship between the corresponding stock indices.

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.

The subject of the study is the Russian RTS stock index, the methodology of its construction and analysis of development trends, comparison with indices of other countries.

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.

Research information base

To conduct the study, statistics from the OECD, International Stock Exchanges, Bank for International Settlements, International Monetary Fund, publications of central banks and national statistical agencies, data provided by Bloomberg and Reuters information terminals, monographic studies, various reference publications, materials from foreign and Russian periodicals, were processed. dedicated to the stock market and stock indices.

The data sources for Russian stock indices were the databases of the Moscow Interbank Currency Exchange (MICEX), the Russian Trading System (RTS), NAUFOR (National Association of Stock Market Participants), Bank of Russia, FFMS (Federal Service for Financial Markets) of Russia, Rosstat of the Russian Federation, Central Financial Markets Service (Stock Market Development Center), etc.

When solving problems, the preparation of source data and their transformations were carried out using the MS Excel spreadsheet processor (Microsoft, Corp.), and all statistical calculations performed were carried out in the environment of the STATISTICA software package (StatSoft, Inc.).

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 practical significance of the dissertation research work lies in the fact that the theoretical provisions 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.

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 at the Department of Statistics of the State University of Management.

The results of the dissertation research were used in the work of the National Association of Stock Market Participants in the preparation of analytical reviews and studies devoted to the analysis of the Russian stock market, multifactorial comparison with the stock markets of developed and developing countries and CJSC PricewaterhouseCoopers Russia B.V. when providing consulting services.

Scope and structure of the dissertation.

The work consists of an introduction, three chapters, a conclusion, a list of references and 4 appendices, contains 13 figures and 39 tables. The total volume of work is 249 pages of typewritten text (including appendices), including a bibliographic list of used literature, which includes more than 150 sources.

Dissertation: conclusion on the topic "Accounting, Statistics", Uchuvatkin, Leonid Vasilievich

Then the results of the study, its main conclusions, are formulated in meaningful terms. If the study was carried out within the framework of mathematical-statistical methods and models, then its conclusions are formulated in terms of estimates of the unknown parameters of the analyzed system or in the form of an answer to the question of the validity of the hypothesis being tested.

When studying various phenomena for the presence of certain patterns, relationships and dependencies, it is possible to use a fairly wide range of tools and various methods of data analysis. The most commonly used types of analysis are graphical, correlation, variance and regression.

The main methods when working with data sets are the sampling method and the grouping method. The essence of the sampling method is to determine a representative set of data, the analysis of which will allow the conclusion to be extended to the general population as a whole. Using the grouping method, the original array of information is structured.

The sampling method makes it possible to form a homogeneous, representative set from the entire set of stock indices, most of which have a long history of publication.

Data analysis by graphical method is certainly one of the most important stages of research. Using this method, a description of the analyzed processes is made, development trends and general patterns of dynamics of various phenomena are identified. Visual analysis is a mandatory and integral part of any study, because... already at the first stages it allows one to come to conclusions that confirm or reject the assumptions made.

Dispersion and regression analyzes make it possible to establish the existence of a dependence of a certain phenomenon on any factor or group of factors. Depending on the number of factors, using one-factor or variance analysis, the degree of influence of the characteristics on the phenomenon under study is assessed, while regression analysis makes it possible to establish not only the degree of influence, but also the form of dependence of the phenomena.

Correlation analysis allows us to establish the presence of a linear relationship between phenomena. The essence of the analysis is to calculate the correlation coefficient, by the value and sign of which one can judge the degree and direction of the relationship between phenomena, respectively. The results of correlation analysis indicate the possibility of predicting one indicator with a known value of another.

A more detailed description of each of the methods listed above is provided in Appendix 1.

3.2 Formation of a hypothesis about the dependence of stock indices

The modern Russian stock market is one of the fastest growing securities markets in the world. It is characterized by high growth rates and the presence of a fairly large number of qualitative and quantitative changes. In the period from 1995 to 2005. the average annual increase in market capitalization was 86.5%, which is one of the highest indicators for both developed and emerging markets. On the other hand, the Russian stock market is characterized by instability of growth, dependence on individual sectors of the economy and certain political decisions.

One of the main disadvantages of the Russian stock market also includes the concentration of its structure (see Chapter 1), which ultimately negatively affects not only the state of the stock market, but also the ability to forecast it. This prevents increasing confidence in Russian shares and attracting a larger number of both Russian and foreign investors.

Increasing the market's capacity and increasing its attractiveness for investors brings to the forefront the problems of identifying methods and methods for predicting the state of the stock market.

For investors and financial analysts, forecasting ability is one of the most important and significant characteristics of the stock market.

The investment policies of many financial institutions and the behavior of private investors are based on forecasts for the development of the stock market. For banks and pension funds, investments in shares are part of the placement of their financial reserves; investment funds and management companies determine their long-term investment strategy. Private individuals, on

26 NAUFOR Ideal model of the Russian stock market for the medium term (until 2015), p. 164 Part M. 2007, based on the forecast of growth or decline in the stock market, I make a decision on investing savings in shares through a broker, transferring funds to mutual funds, or refusing investments.

Considering the peculiarities of the Russian stock market, directly predicting its condition is quite difficult, since, as mentioned above, many factors are difficult to predict.

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. Having a longer history of their development, the stock markets of certain countries can be more accurately predicted than the Russian stock market. We are talking about the stock markets of developed countries, such as, for example, the USA, Great Britain.

Having a longer history of their development, a larger number of theoretical and practical scientific and applied studies describing their behavior, a larger number of participants, a variety of securities, and volumes of funds raised, such stock markets are better predictable. Most of the economic theories that describe the behavior of the stock market, the most famous of which are the CAPM (Capital Assets Price Model) and APT (Arbitrage Pricing Theory) models.

07 are based on assumptions about market efficiency and rational investor behavior and are linear approximation models. The Russian market is not efficient, and the actions of its participants often cannot be called rational.

27 The market is efficient with respect to certain information if, using this information, it is impossible to make a decision to buy or sell securities that allow one to obtain a profit other than normal, or excess profit. W.F. Sharp, Investments, Infra-M, 1999, p. 109.

Thus, having established the relationship of the Russian market with the stock markets of other countries of the world, the possibilities for studying its condition are significantly expanded.

Identification of relationships will help to obtain the initial prerequisites for constructing predictive models for the development of the Russian stock market, and to determine regional geographic dependencies of the influence of securities markets of other countries on the Russian stock market.

Speaking about forecasting, it is important to emphasize that the Russian stock market is part of the global market, and, therefore, is subject to general trends and interacts with other stock markets.

In this regard, in order to identify the possibility of predicting the state of the Russian stock market, the question is raised about the existence of a relationship between stock markets or its absence.

1. There is no repeatability or interconnection in the dynamics of stock markets.

2. There are relationships between different stock markets, however, this is nothing more than a mere coincidence.

3. Markets develop cyclically, and there is an economically justified relationship between them.

To conduct the study, we will assume that the dynamics of the stock market are described by the dynamics of the stock index, which best represents the securities of this market.

The hypothesis put forward is as follows: there are stable dependencies between the stock markets of different countries that are amenable to statistical analysis. 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.

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

The following fundamental relationships seem possible:

Financial relationships. One example of how financial connections lead to increased correlation between stock indexes can be described as follows: when asset prices in one country decline, firms are forced to increase reserves. In this situation, companies avoid selling cheap assets, instead getting rid of shares whose prices have not yet begun to fall. Another example: open-end investment funds, when a crisis situation occurs in one country, increase the share of funds, fearing withdrawal of funds by shareholders.

Foreign economic relations. Countries with a large volume of foreign trade become dependent on the situation in partner countries. A stock market crisis often precedes or follows a devaluation of a national currency. Trading partners of a country that has devalued its currency find themselves in a difficult position, which is reflected in their stock indices.

Political connections. This type of relationship is relatively rarely taken into account, but a country’s entry into an interstate association may be accompanied by similar changes in the legislative framework, monetary and budget policies.

The following psychological relationships also seem possible:

Information asymmetry. Because information is an expensive resource, the relative cost of obtaining it is higher for smaller markets. In this regard, investors can pursue a unified investment policy in relation to several countries united by them on any basis.

Changing the rules of the game. Sometimes an event in a particular country prompts investors to reassess the risks associated with international investing in general. Events of this kind include, for example, Russia’s default on its internal treaty. A major change in the global investment strategy of many investors at the same time could put equal pressure on a number of stock markets.

Herd behavior. Investment decisions are made by real people, so it is hardly possible to avoid manifestations of herd behavior among stock market participants. Moreover, such behavior is not so irrational: the results of those who follow the majority often correspond to the dynamics of index portfolios.

Based on the fact that stock markets are a certain reflection of the economic situation in the country, the processes and changes occurring in it, it should be assumed that all stock markets can be combined into groups in accordance with the degree of development of the economy of the country to which they belong.

The economies of all countries of the world are generally divided according to a number of socio-demographic and economic indicators into developed, developing and backward. Obviously, this is why the same principle makes it possible to classify stock markets. The main problem is the choice of the most adequate indicator, with the help of which the stock market will be classified into one group or another.

The formation of groups of markets with similar characteristics provides quite broad opportunities for analyzing the movement of financial resources and changes in the investment attractiveness of a particular region.

If the grouping is carried out correctly, it is expected that the markets included in one group will be characterized by unidirectional trends, i.e. with positive dynamics of the stock index of one country, other countries will also experience positive dynamics. In other words, it is expected that there will be fairly strong relationships within groups.

It can be assumed that with positive trends in the economies of one group of countries, the flow of financial resources will rush to the stock markets of this group, therefore, the volume of resources in the markets of other groups may change downwards. If these relationships are available and determined, the quality and accuracy of forecasting the dynamics of stock markets in individual countries can significantly increase.

Thus, the second hypothesis can be formulated as follows: all stock markets form groups depending on the degree of development of the economy to which they belong. There are quite strong relationships within groups, and relationships can also exist between groups.

To test the hypotheses, it is necessary to solve the following problems:

First, it is necessary to determine a representative set of stock markets, on the one hand, characterized by a variety of geographical origins, and on the other, including representatives of the markets of countries playing leading roles in the modern world economy;

Secondly, it is necessary to identify stock indices, the behavior of which to some extent characterizes the state and dynamics of the economy of one’s country;

Thirdly, after completing the formation of the studied set of stock indices, a statistical analysis of the interrelations of stock markets should be carried out, and if the existence of interrelations is established, further study should be carried out.

When selecting source data for analysis, the following must be considered:

First, it is necessary to identify an indicator of the state of the stock market, the dynamics of which largely correspond to the dynamics of the stock market. In this study, a stock index describing a particular market was chosen as such an indicator;

Secondly, it is necessary to highlight the countries whose markets currently play the greatest role in shaping the main trends and are the most attractive to investors, i.e. those countries whose stock markets can have the greatest impact on the Russian stock market;

Thirdly, for each market separately, you should select a specific index that most accurately characterizes the structure and characteristics of each market;

Fourthly, it is necessary to determine the time period to be studied: during the analyzed period of time, the economies of the countries under study should not have been subjected to strong crises and shocks, and there should also have been no significant structural changes in the economies of these countries.

Fulfillment of all the above conditions allows us to form a set of homogeneous data necessary for conducting an objective study. Only a set of data that best meets the specified requirements provides the opportunity to most accurately approach testing the hypotheses put forward, and, consequently, to formulate correct conclusions.

When determining the range of countries to be studied, the most pressing issue was choosing those stock markets whose influence on global trends is quite significant. Considering that the purpose of the study is to establish relationships between the Russian stock market and the stock markets of foreign countries, when forming the study population, it is necessary to present the geography of the analysis as broadly as possible.

Therefore, the generated set of countries must meet several conditions:

It must be representative from a geographical point of view, i.e. the analysis should involve stock indices of countries located in different time zones, which will allow us to trace the chronological dependence in the dynamics of stock markets;

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

The resulting population should include both developed and developing countries.

The last condition is due to several factors. On the one hand, the stock markets of developing countries are the most attractive for investors, because they are more profitable than the markets of developed countries. On the other hand, it is assumed that trends in the stock markets of developed countries have a fairly large impact on the markets of less developed countries.

Financial markets in economic literature are often divided into two large groups: developed markets and emerging markets. This division appeared in the late 1980s - early 1990s and complemented the classification of countries in the world by level of economic development. By emerging we mean a financial market that is in the process of transformation, growth and complication of its structure.

According to the general level of economic development, countries and territories of the world before the collapse of the world socialist economic system were divided by international organizations, primarily the UN, into developed, developing and centrally planned economies. Since the early 1990s, a new division has been applied: developed, developing and transition economies. Since the fall of 2004, the world's leading economic organization, the International Monetary Fund (IMF), has abandoned this classification and now classifies countries into two groups: developed and other countries with emerging markets and developing.

In total, there are 175 countries and territories in the IMF database. In accordance with this division, the group of developed countries and territories (29) included the newly industrialized countries of Asia: Hong Kong, Korea, Singapore and Taiwan, as well as Israel. The second group (146) contains all other countries. In turn, within each group subgroups can be distinguished based on geographic or other characteristics. The list of 175 countries and territories did not include countries that are not members of the IMF (DPRK and Cuba), as well as countries for which the fund does not have sufficient data, for example, Afghanistan, Serbia and Montenegro, Liberia, Somalia, San Marino, Monaco and others .

However, there is no complete correspondence here either. For example, according to the IMF classification, developed countries include the newly industrialized countries of Asia, Israel and Greece, while in other documents of the same fund, in particular the Global Financial System Report

Stability Report), Korea, Taiwan, Israel are mentioned as emerging market countries.

The classification of the International Financial Corporation, which since 1981 has maintained an information base on financial markets, and considered only stock markets28, can also be taken as a basis. According to this classification, Singapore and Hong Kong are classified as developed markets, while Korea and Taiwan are emerging markets. As they develop, some countries move from the emerging group to the developed group.

The country belongs to the group of countries with low or average per capita income according to the World Bank (GNP, determined by the World Bank Atlas method);

A country with a low capitalization to GDP ratio. In this case, not the entire capitalization is taken into account, but only its part available to foreign investors.

High per capita income (according to the World Bank Atlas method) in 2003 amounted to 9386 US dollars. In addition, S&P uses non-quantitative characteristics, such as the presence of restrictions on foreign portfolio investment.

The classification presented in this paper generally corresponds to the approach used by S&P (see table 3.1).

25 Emerging Market Data Base. In 1999 it was sold to Standard & Poor's and is now supported by that organization.

Conclusion

As a result of the dissertation research, the set tasks were solved and a set of conclusions was formulated.

The dissertation research provided an overview of the current state of the Russian stock market and its comparison with the stock markets of developed and developing countries based on extensive statistical material.

Based on the analysis and processing of statistical information on the Russian stock market in comparison with foreign developed and developing stock markets, we can say that capitalization and liquidity, as the two most important indicators characterizing the development of the stock market, in the last few years for the Russian stock market increased significantly, which is associated both with changing macroeconomic indicators and with internal changes in the quality of securities on the stock market.

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.

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. Such an exit can be carried out in the form of a company that previously did not have an organized market for its shares gaining real publicity.

To ensure sustainable rapid growth of capitalization, it is necessary to exclude the possibility of a recurrence in Russia of crises similar to the crisis of 1997-1998. It is the crisis factor that can have the most negative impact on the dynamics of national capitalization in the long term. Therefore, the most important factor in ensuring the sustainability of Russia’s capitalization growth is ensuring a sufficient level of immunity of the domestic stock market to external crisis factors formed in the global capital market or in other sectors of the Russian financial market.

The dissertation research proposed a description and analysis of stock indices 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. Since in the Russian stock market the 10 largest companies that are included in all indices account for about 90% of the market capitalization, this determines the similarity of the dynamics of stock indices.

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

There are stable relationships between the stock markets of different countries that can be analyzed statistically. The dynamics of the Russian stock market are interconnected with the dynamics of markets in developed and emerging markets;

All stock markets can be grouped depending on the degree of development of the economy of the country to which they belong. There are quite strong relationships within groups, and relationships can also exist between groups.

To test the hypotheses, 777 daily values and 146 weekly data values for the period 2003 - 2005 for 12 leading stock indices of developed and developing countries were collected, processed and analyzed, 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 the following countries: Argentina, Brazil, Great Britain, Germany, Hong Kong, China, Korea, Malaysia, Russia, USA, Japan.

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;

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

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;

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

The results of this study refute the stereotype formed among Russian economic periodicals about the existence of a stable relationship between the Russian stock market and the US stock market. This allows us to take a fresh look and rethink the factors that underlie the development of the Russian stock market.

The results obtained indicate that the Russian stock market is largely self-sufficient and its dynamics can only partly be 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.

There is a relationship with foreign stock markets, but its importance for the Russian stock market should not be overestimated.

This work expands the limited range of studies of the nature, structure and relationships of the Russian stock market, as an important macroeconomic component of the Russian economy, reveals new patterns and destroys existing stereotypes.

The development of this research could include more detailed studies of the behavior of indices within groups, the construction of regional group indices with a wider representation of economies, or an analysis of the possibility of selecting a model of the nonlinear dependence of the Russian stock market on other markets.

This work reveals the need to identify and analyze global factors influencing the dynamics of stock indices and assess their impact separately on each country.

Answers to these questions will allow us to better understand the nature of the Russian stock market and develop theoretical approaches to its modeling and forecasting.

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This determines the interdependence between commodity prices, the dynamics of stock indices and, as a consequence, the business and investment activity of participants in the global economy and, therefore, each individual enterprise, regardless of its scale and type of activity. A comparison of the dynamics of indices of various sectors of the economy reflects the rate of change in the value of shares of companies in the represented sectors, which is evidence of their business activity and pace of development. The purpose of this work is to identify the relationship between stock indices and indicators...

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The relationship between the dynamics of stock indices and business activity in the Primorsky Territory

Grebenyuk Y.A., FEFU

Changes in the global economic system that have taken place in recent decades have led to the fact that the boundaries between the currency, stock and commodity markets have practically disappeared. Today, these markets should be perceived as segments of a single global financial system, where capital moves without obstacles and virtually instantly. This determines the interdependence between commodity prices, the dynamics of stock indices, and, as a consequence, the business and investment activity of participants in the global economy, and therefore each individual enterprise, regardless of its scale and type of activity.

Stock indices in the business world are usually considered to be indicators of the state and dynamics of the securities market. By comparing the current index value with its previous values, the behavior of exchange trading participants, their reaction to certain changes in the macroeconomic situation, various corporate events, and speculative processes are assessed. A comparison of the dynamics of indices of various sectors of the economy reflects the rate of change in the value of shares of companies in the represented sectors, which is evidence of their business activity and pace of development. Historically, the main purpose of the stock market is to finance the real sector of the economy.

The Russian stock market belongs to the developing class. Despite the strong growth in turnover on Russian stock exchanges, the total annual volumes of securities transactions remain very low compared to the markets of developed countries.

As a rule, information about stock indices is relevant for a certain circle of specialists whose activities are related to work on stock exchanges (brokers, employees of the banking sector, investment companies, companies whose shares are placed or are planned to be placed on the stock exchange).

The purpose of this work is to identify the relationship between stock indices and performance indicators of trade and service organizations in the Primorsky Territory.

The most informative in Russia are the MICEX and RTS indices - barometers of the domestic stock market. Considering the export-oriented orientation of the domestic economy and import-oriented consumption, with an increase in the dollar exchange rate, the purchasing power of the ruble falls, the cash income of Russians depreciates, domestic demand decreases, that is, the rate of economic growth slows down, which immediately affects the dynamics of enterprise performance indicators.

Of course, during the exchange session, traders instantly react to changes in oil prices on world markets. The dependence of the direction of stock indices on oil prices can be traced in seconds, while the dependence of consumer demand on stock indices has a significant time lag. This is explained by the specifics of the real sector of the economy, its ability and speed of adaptation to changing environmental conditions.

To illustrate the relationship between the economic indicators of the activities of trade and service enterprises and the dynamics of changes in stock indices, a regression equation was compiled and a number of graphs were constructed based on statistical data for the Primorsky Territory. To track dynamics, relative indicators were used indices of the physical volume of the studied parameters in comparable prices, as a percentage of the previous year. Based on the obtained values, we can conclude that there is a correlation with the indicators of stock indices; the repetition of trends in a time interval of one year is clearly visible.

To build a regression model, a sample was made according to the official website of Primorskstat by types of activities of interest to the article in accordance with the classifier of state statistics bodies. The volume of investments in fixed capital is an indicative criterion of business activity. Based on the results, the following conclusions can be drawn: the share of investments in the total volume for such activities as wholesale and retail trade, hotel and restaurant business, financial activities, healthcare and social services not only decreased in the crisis year of 2009, but also did not develop trends towards growth. This is evidence that the impact of the global financial crisis was considerable. Enterprises today are puzzled by how to reach “pre-crisis” sales revenue levels and do not have free resources for investment. The only exceptions are activities such as transport, communications and education.

Thus, we see that business activity in the market of goods and services of the Primorsky Territory is subject to the directions of dependence of the demand for goods and services on the dynamics of stock indices. This is one of the illustrations of the modern process of globalization. The high level of dependence of the MICEX and RTS indices has also been proven. This suggests that when carrying out strategic planning for the development of individual companies, it is necessary to take into account macroeconomic trends, regardless of where these enterprises are located geographically. It also actualizes the need for management to access information about the dynamics of business activity indicators. Understanding by managers of the likelihood of an approaching crisis situation will allow them to prevent unjustified expenses, revise investment policies, and develop ways to minimize financial losses.

Literature

Ilyenko I.V., Kislova L.P. Dynamics of oil prices and its impact on the Russian economy // International Journal of Applied Fundamental Research - No. 3. 2010 P.22 - 28.
Structure of investments in fixed capital by type of economic activity for the period 2004 2011. Territorial body of the Federal State Statistics Service for the Primorsky Territory. Access mode:http://primstat.ru/digital/region5/DocLib/inv1.htm. [Date of access: 09/18/2012].
Territorial body of the Federal State Statistics Service for the Primorsky Territory. Access mode:http://primstat.ru/default.aspx. [Accessed 09/19/2012].
Shemeleva A.S. The impact of stock market dynamics on GDP in the Russian Federation. // Financial markets - No. 26. 2010 P. 52-58.
List of shares of issuers for calculating the MICEX index. Access mode:http://www.micex.ru/marketdata/indices/shares/composite
List of shares of issuers for calculating the RTS index. Access mode:http://www.rts.ru/ru/index/RTSIDescription.aspx. [Date of access: 09/14/2012].
Dynamics of stock indices, resource prices. - Access mode: http://news.yandex.ru . [Date of access: 09/21/2012].
HSBC Purchasing Managers Index™ Press Release. Access mode: http://www.hsbc.ru. [Date of access: 09/14/2012].

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Introduction

Chapter 1 Russian stock market: main trends and development prospects 13

1.1 Definition of the stock market and its formation 13

1.2 Main participants of the Russian stock market: issuers, investors, exchange infrastructure, regulator 29

1.3 Comparative assessment of the main parameters of the Russian stock market 49

Chapter 2. Stock indices, their meaning 76

2.1 Description of characteristics, classifications and use of stock indices 76

2.2 Methodology for calculating stock indices 86

2.3 Description of Russian and world stock indices 99

Chapter 3. Study of the relationship between stock indices 123

3.1 Approach to formulating and testing hypotheses of the statistical relationship between stock indices 123

3.2 Formation of a hypothesis about the dependence of stock indices 130

3.3 Testing the hypothesis about the existence of a relationship between stock indices 148

Conclusion 179

Introduction to the work

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.

4 Objective processes of globalization of the world capital market pose

the question of the influence of foreign capital markets on the national stock market

Russian market. The relevance of this question is evidenced by

for example, a large share of foreign markets in total

attracting investments by Russian companies and in total

transactions with Russian shares. The formation of an effective

stock market regulation systems based on the best

world experience in this field.

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 interrelation between the Russian stock market and foreign stock 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 of the possible ways to take into account the influence of foreign markets is to take into account the dependence of the national stock market on foreign markets - establishing relationships 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.

5 Moreover, stock indices over the past few decades

ceased to serve solely as stock market indicators

market, and themselves turned into a commodity. Stock Index Trading - One

from the largest segments of the financial market on stock exchanges in Europe and the USA.

Relevance of the research topic due to the need to analyze the current state and summarize information about the Russian stock market, its comparison with the stock markets of developed and developing countries.

The relevance of developing conceptual issues of development of the Russian stock market for the medium term is associated with two circumstances:

the objective need to extend the development forecasting period;

deepening globalization of the world capital market, which places increased demands on the competitiveness of the national financial market.

As quotes confirming the influence of foreign stock markets on the Russian market, we can cite the words of V.D. Milovidov, Assistant to the Prime Minister of the Russian Federation: “In fact, there are no longer developed markets and developing ones. There is already a single financial market. Another thing is that the individual segments of this financial market are not consistent with each other in terms of the degree of risk, income, mutual penetration and the ability to constantly transfer capital from one segment to another,” and the words of SV. Lyalin, CEO of the analytical and information agency Cbonds: “The trend is that there may soon be no national markets left as such. There will only remain international markets on which securities of various issuers are traded.”

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.

7 private investors confirming or denying the fact of the relationship

between stock markets will make it possible to more accurately analyze and forecast the global and national stock market, identify leading industries based on the structure of stock indices, and determine the individual characteristics of individual stocks.

Degree of development of the problem

Until 1990, certain issues related to the stock market were addressed in the works of B.I. Alekhina, A.V. Anikina, E.Ya. Bregel, B.C. Volynsky, I.S. Korolev, L.N. Krasavina, G.G. Matyukhina, M.A. Portnoy, D.V. Smyslov, V.M. Sokolinsky, V.V. Sushchenko, Yu.S. Stolyarova, B.G. Fedorova, L.I. Frey and other authors. During the period 1945-1990, only a few works devoted to the securities market were published.

Various aspects of statistical analysis and, in particular, market
shares, books and articles by B.I. Alekhina, S.A. Ayvazyan, A.I. Basov,
A.I. Belzetsky, V.A. Galanova, 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. Rubtsova, 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, which can be attributed

8 to the “classical” on the stock market we note the books of W. Sharp, J. Wang

Horne, R. Braley and S. Myers, T. Watsham and J. Parramow.

Among the works examining the issues of statistics of the Russian stock market, several documents can be identified that determine the development of the stock market on a national scale: “Development Strategy of the Russian Federation until 2010”, “Strategy for the Development of the Financial Market of the Russian Federation for 2006-2008”, “Market Development Program securities of Russia until 2010".

In 2007, under the auspices of the National Association of Stock Market Participants, a group of scientists, researchers and analysts developed a project for the forecast development of the Russian stock market: “An ideal model of the Russian stock market for the medium term (until 2015).” 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".

Purpose and objectives of the study

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.

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;

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

comparison of indices and testing of 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.

10 The object of the study is me The Russian stock market is 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.

Theoretical and methodological basis of the study 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, materials of scientific conferences devoted to this topic were used. The work also used materials from publications in economic periodicals.

Research information base

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:

conducting an up-to-date analysis and summarizing 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.

Practical significance dissertation research work is that the theoretical provisions 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,

12 Ministry of Finance, etc.), trading platforms (MICEX, RTS),

self-regulatory organizations (NAUFOR), managers and

investment companies, analysts and other participants

stock market, 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.

Scope and structure of the dissertation.

Definition of the stock market and its formation

When determining the methodology for statistical research of the stock market, it is first necessary to turn to the system of categories and concepts that describe the stock market.

The term “stock market” broadly refers to the “securities market”. It is an essential and integral part of a market economy. In the stock market, the process of converting savings into investments occurs, and intersectoral capital movements are formed, causing structural changes in the economy.

The term “stock market” in Russian economic literature refers to the securities market, however, one can also find a different interpretation, when the stock market refers only to the market for classic long-term exchange-traded securities (stocks and bonds).

The following segments of the stock market are distinguished in accordance with various types of securities:

Government bond market;

Municipal Bond Market;

Market for shares of corporate enterprises (stock market in the narrow sense);

Market of corporate bonds and bills.

This paper studies stock indices only on the stock market, the stock market in the narrow sense. This limitation arises from the different nature of the stock market segments, since the same macro and microeconomic factors have different effects on different types of stock market instruments, therefore, a separate study must be conducted for each of the above segments.

This approach is in accordance with the widely used terminology adopted in the domestic literature on shares and their circulation on the stock market.

The broadest concept is the “world stock market,” which can be defined as a set of national markets considered in interaction and interdependence. In turn, the world market can be divided into world markets for stocks, debt instruments, and derivatives.

Depending on the degree of development, stock markets of individual countries are divided into “developed” and “emerging”. This division is quite arbitrary; it appeared in the 80s of the 20th century and is an addition to the usual division of countries into developed and developing. Often, authors put different content into the concept of “emerging market”.

According to the general level of economic development, countries and territories of the world until the 90s were divided by international organizations, primarily the UN, into developed, developing and centrally planned economies. Since the early 1990s, a new division has been applied: developed, developing and transition economies. Since the fall of 2004, the world's leading economic organization, the International Monetary Fund (IMF), has abandoned this classification and now classifies countries into two groups: developed and other countries with emerging markets and developing.

The classification of the International Financial Corporation, which since 1981 has maintained an information base on financial markets, and considered only stock markets1, can also be taken as a basis. According to this classification, Singapore and Hong Kong are classified as developed markets, while Korea and Taiwan are emerging markets. Naturally, as they develop, some countries move from the emerging group to the developed group. One of the leading information and rating agencies S&P in its database on emerging markets classifies a market as emerging if it meets at least one of two main criteria: - the country belongs to the group of countries with low or medium per capita income according to the World Bank (GNP determined using the World Bank Atlas method);

A country with a low capitalization to GDP ratio. In this case, not the entire capitalization is taken into account, but only its part available to foreign investors.

High per capita income (according to the World Bank Atlas method) in 2003. amounted to 9386 US dollars. In addition, S&P uses non-quantitative characteristics, such as the presence of restrictions on foreign portfolio investment.

Another basic element of the population under study is the concept of “security” as an integral element of the stock market.

In Russia, the legal definition of a security is given in the Civil Code. Securities include: “... government bond, bond, bill of exchange, check, deposit and savings certificates, bearer bank savings book, bill of lading, share, privatization securities and other documents that are required by securities laws or in the manner prescribed by them classified as securities." The law on the securities market introduced the concept of an issue-grade security, which includes shares4. A comprehensive statistical study of the stock market involves studying the characteristics of securities (rates, trading volumes, security quality), the activities of market participants (issuers, investors, etc.) by type of market (exchange and over-the-counter, primary and secondary).

In this area of economic statistics, based on a synthesis of the results of various studies and recommendations of international structures, the following sections are distinguished:

Statistics of volumes and structure of transactions with securities;

Statistics of securities rates;

Stock index statistics;

Derivatives statistics;

Statistics on the activities of stock market participants.

Speaking about the tasks of stock market statistics, the following most important tasks should be highlighted:

Ensure the collection of the most complete and adequate information about the stock market;

Summarize and structure information about the stock market and provide an information base for decision-making by market participants;

Create and improve the methodology for collecting and processing information on the stock market;

Ensure control over the dynamics of the main stock market indicators and develop methodological approaches to their forecasting.

Description of characteristics, classifications and use of stock indices

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 Latin word "index" means "index, indicator." Usually this term is used for some general characteristics of changes. An index is an indicator of comparison between two states of the same phenomenon.

The stock market index is the average value of the market value of shares of certain companies, which, from the point of view of the authors of the index, most accurately reflect the current state of the market. In other words, indices characterize the dynamics of the exchange rate on average for a certain set of securities.

Another definition of a stock index is: a stock index of securities is a weighted average of the prices of shares traded on that market. When calculating the index, the stock market traded on a large exchange is usually taken as the base one.

The stock market index is an index of prices of shares traded on the market and determines the dynamics of their changes in this market. Indices can be calculated daily, weekly, monthly, quarterly, semi-annually, annually. Changes in index values are considered as an indicator of market demand.

One of the most important areas of using indices in economic statistics is the analysis of the state of the securities market. Securities market indicators are calculated by their types: shares, bonds, derivatives, etc.

From the point of view of considering the problems that stock market indices allow us to solve, the following functions can be distinguished:

Indices make it possible to formally describe complex phenomena, that is, they solve the problem of reducing the number of parameters by which one or another set of objects is evaluated (a set of goods, securities, etc.);

Indices in a local coordinate system can be interpreted as some basic reference point - they serve as a tool for assessing the profitability of investments in certain securities. For example, in the process of fiduciary management, the efficiency provided by a stock index is often chosen as the minimum acceptable for the portfolio's return;

The index sampling structure is the basis for the structure of the securities portfolio. In particular, one of the passive strategies of behavior in the stock market is the indexing strategy, which consists in the fact that the structure of the securities portfolio is brought into accordance with the sample structure of the stock market index;

Indices serve as a tool for assessing the economic situation and, to some extent, economic forecast;

Stock market indices can also act as separate, independent derivative securities. Trading is carried out based on index values, options and futures contracts are sold. This allows for more flexible management of assets and carrying out hedging (insurance) transactions with securities of issuers included in traded indices;

Indices, in some cases, make it possible to solve the problem of “statistical incompleteness”. In the case of the Russian securities market, this feature of indices is of great importance. Due to the imperfection of statistical processing of information on individual issuers, the problem arises of analyzing their shares using volumetric indicators. When analyzing the dynamics of total volumes for issuers included in the calculation of the index and the stock market index itself, this problem disappears.

Based on the degree of generalization of the information under study, the following securities market indicators can be distinguished:

Integral, characterizing the state of the object under study as a whole with one generalized indicator, for example, the Dow Jones index or the RTS index;

Particulars that supplement the integral indicator with characteristics of individual components (elements) of the market under study. For example, the RUIX-Oil industry index, which is a complement to the RTS index and shows the dynamics of shares of oil and gas sector enterprises in Russia.

Depending on the timing of calculation, indices can be:

Chain (if the numerical values of the indexed value at the time of calculation are compared with their values at the previous moment of calculation);

Basic (if the numerical values of the indexed quantity at the time of calculation are compared with their values at a certain initial moment).

In general, the product of the corresponding chain indices should give the base index if the co-measurer (for example, price) is taken at the level of the same period. Basic indices reflect changes in the average market value of fixed assets, which allows their use in macroeconomic research. For a more correct calculation of the index, not the entire volume of securities in circulation is usually used as the weight of a security, but only its share that is freely traded on the market. It is determined by subtracting the blocking stakes of large shareholders from the total volume of the security issue.

There are other possible grounds for classifying indices, for example: - based on their use as an object of commercial transactions (options and futures contracts);

By organizations publishing the index;

By coverage of listed securities and construction method. 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:

An approach to formulating and testing hypotheses of the statistical relationship between stock indices

To carry out a statistical analysis of the hypothesis of the presence of stable relationships between stock markets, and, in particular, between the Russian and foreign stock markets, it is necessary to formulate a theoretical approach to the formation and testing of such a hypothesis.

Initially, it is necessary to determine the final goal of the study. There are three main types of final application goals for testing hypotheses of statistical dependence:

Type 1: establishing the very fact of the presence (or absence) of a statistically significant connection between Y and X. With this formulation of the problem, the statistical conclusion has a binary (alternative) nature - “there is a connection” or “there is no connection” - and is usually accompanied only by a numerical characteristic (meter ) the degree of tightness of the dependence being studied. The choice of the form of connection (i.e., the class of admissible solutions F and the specific type of function f(X) in the model and the composition of explanatory variables X plays a subordinate role and is aimed solely at maximizing the value of this measure of the degree of connection closeness: the researcher often does not even have to “get” to a specific type of function f(X) and, moreover, it does not pretend to analyze the causal influences of variables X on the resulting indicators.

Type 2: forecast (reconstruction) of unknown values of individual or average values of the studied resulting indicators of interest to us based on given values of X corresponding explanatory variables. With this formulation of the problem, statistical inference includes a description of the interval (area) of probable values of the predicted indicator and is accompanied by the value of the confidence probability with which the validity of our forecast is guaranteed. - type 3: identification of causal relationships between explanatory variables X and the resulting indicators Y, partial control of the values of Y by regulating the values of explanatory variables X. This formulation of the problem tends to penetrate into the “physical mechanism” of the statistical relationships being studied, i.e. into the same a mechanism for converting “input” variables X and e into resulting indicators Y, which in most cases the researcher, not being able to constructively describe it, is forced to call it a “black box”. To explain the role and place of the main techniques of statistical modeling and methods of primary statistical processing of source data, it is convenient to decompose the general logical scheme of statistical analysis into the main stages of the study. Such a decomposition is, of course, conditional. In particular, it does not mean that the stages are carried out in a strict chronological sequence, one after another. Moreover, many of the stages, for example, stages 4, 5 and 6, are chronologically in relation to iterative interaction: the results of the implementation of later stages may contain conclusions about the need to re-run (taking into account new information) the previous stages.

Stage 1: initial (preliminary) analysis of the real system under study. As a result of this analysis, the following are determined:

The main objectives of the study at an informal, substantive level;

A set of units representing the subject of statistical research;

A list of indicators selected from an a priori set of indicators presented by specialists that characterize the state (behavior) of each of the objects being examined, which is intended to be used in this study;

The degree of formalization of relevant records during data collection;

The total time and labor costs allocated for the planned work, and the time length and volume of the necessary statistical survey correlated with them;

Points that require preliminary verification before drawing up a detailed research plan (for example, the possibility of identifying observation units is not always a priori clear);

A formalized formulation of the problem, if possible including a probabilistic model of study and the nature of the statistical conclusions that the researcher should (or can) come to as a result of processing the array of initial data;

Forms used to collect primary information and for. introducing it into a computing device, and in terms of the effort required by the most qualified personnel involved in the work, the labor intensity of the first stage of work is very significant and can even be comparable to the total labor intensity of all other stages, provided that the processing is carried out using a suitable software package. Stage 2: drawing up a detailed plan for collecting initial statistical data

information. When drawing up this plan, the full design of further statistical analysis should be taken into account whenever possible. Having an a priori understanding of how and why data will be analyzed can have a significant impact on data collection. When planning, special attention is paid to cases when:

The apparatus of the theory of sample surveys is used, i.e. it is determined what the sample should be - random, proportional, stratified, etc.;

At least for some of the input variables, the experiment is active in nature, i.e. variables can be fixed in each specific observation at a certain level, and the choice of survey plan is carried out using experimental design methods.

Stage 3: collection of initial statistical data and their input into the computing device. At the same time, complete and brief (for automated reproduction in tables) definitions of the terms used are entered into the computing device. The software must provide special measures that eliminate or sharply reduce the possibility of calculations with the wrong subset of data or for the wrong subgroup of objects.

Stage 4: primary statistical data processing. During the primary statistical processing of data, the following tasks are usually solved:

Displaying variables described in text on a nominal (with a prescribed number of gradations) or ordinal (ordinal) scale;

Statistical description of initial populations with determination of the limits of variation of variables;

Analysis of outlier observations (clarification of the consistency of the hypothesis expressed by the researcher about the general form of distribution of the analyzed observations with the nature and specificity of the specific initial data available to the researcher is carried out using certain statistical criteria of agreement);

Recovering missing observations;

Checking the statistical independence of the sequence of observations that make up the array of initial data;

Unification of variable types, when, using various techniques, a unified recording of all variables is achieved;

Experimental analysis of the distribution law of the population under study and parameterization of information about the nature of the distributions being studied (sometimes this stage is called the process of compiling a summary and grouping). Stage 5: drawing up a detailed plan for the computational analysis of the material. The stage begins with the preparation of a certificate on the collected material and the results of the preliminary analysis. The main groups for which further analysis will be carried out are identified. The analysis flowchart is clearly described, indicating the methods used. An optimization criterion is formulated, on the basis of which one of the alternative methods (or one of the alternative families of methods) for the basic statistical processing of the source data is selected.

Economic cycles - concept and nature of origin

It is impossible to correctly understand the meaning of changes in economic indicators and assess their consequences for foreign exchange markets without taking into account the cyclical behavior of the economy. It is known that the development of economic processes is cyclical: growth is necessarily accompanied by a recession, followed by recovery and new growth. The same change in a specific indicator can have completely different economic meaning (and therefore financial consequences), depending on at what stage of the economic cycle it is observed.

Dow Jones Index: history of appearance and calculation methodology

When Charles Dow first introduced his index of industrial stocks on May 26, 1896, the state of the stock market was not particularly described and no indicators existed to describe the processes occurring in the stock market. Prudent investors preferred bonds that brought in predetermined interest and were guaranteed by the property of the issuing companies - machinery, real estate and other stable assets.

Economic indicators. Leading, coincident and lagging indicators

Economic indicators are macroeconomic indicators published in the form of reports by the government or independent organizations and reflecting the state of the national economy. They are published at specific times and provide the market with information about whether the economy has improved or worsened. The influence of such indicators, for example, on the global foreign exchange market can be compared with the influence of company earnings reports on the securities market.

Stock indices. Definition and calculation methods

Stock index- an indicator of the state and dynamics of the securities market. By comparing the current index value with its previous values, you can evaluate the behavior of the market, its reaction to certain changes in the macroeconomic situation, various corporate events (mergers, acquisitions, stock splits, resignations and appointments of leading managers), and speculative processes.

Gross domestic product. Definition and calculation methods

Gross domestic product (GDP) is one of the most important indicators of the system of national accounts, which characterizes the final result of the production activities of resident economic units and measures the value of goods and services produced by these units for final use. GDP is a measure of output produced, which represents the value of final goods and services produced.

Components of US GDP

The economy is measured by gross domestic product or GDP. GDP includes many components, each with different levels of importance. For example, the US economy is a consumption-based economy because consumer spending is the largest component of GDP. China, on the other hand, has an export-based economy, as exports make up a large portion of China's GDP. This article carefully analyzes the components that drive the American economy and how they have changed from 1929 to the present.

History of the Russian ruble from 1900 to 2015

The sharp fall of the Russian ruble made headlines in December 2014. Sharp fluctuations in the ruble exchange rate are not a new phenomenon and are very characteristic of the financial history of Russia. On December 15 and 16, 2014, the ruble fell by 22 percent against leading world currencies, which prompted the government and the Central Bank of the Russian Federation to take emergency measures to save the Russian national currency. The ruble's impressive 22 percent fall on December 15 and December 16 also prompted investors to perceive the situation as a repeat of the 1998 crisis, when the ruble lost 27 percent on August 17. The ruble fell more than 40 percent against the dollar in 2014 and reached new all-time lows. By the beginning of 2015, the ruble was at 56.24 against the dollar, compared to 32.9 at the beginning of 2014.

Institute of Supply Managers (ISM) Index

The ISA PMI, published monthly, is the most important indicator of the prevailing direction of changes in economic activity. The index has the properties of a leading indicator and is able to indicate the moment of trend change in objective quantitative characteristics of economic activity obtained by government institutions. Values above 42.7% indicate a state of economic growth, above 50.0% indicate growth in the manufacturing sector of the economy.

Leading indicators. Calculation methods and components of summary leading indices

Forecasts of economic development can be based on elementary extrapolation, sophisticated econometric models, techniques of “technical analysis”, surveys of consumers and entrepreneurs, informal assessments of experts and analysts. One of the most common methods of anticipating future economic dynamics is the use of a system of leading indicators.

Business activity indices. PMI and Tankan indices

Indicators based on the methodology for constructing so-called diffusion indices have been extremely popular in recent years in economic statistics. Indices of this kind, which by their nature are indicators of business optimism among business participants, are regularly published (under the names PMI) in the USA, England and Germany, where they are created by the relevant associations of businessmen; They are used both to assess the direction of public opinion and to measure the dynamics of objective indicators.

Dollar to ruble exchange rate: criteria for changes

In our country, the dollar to ruble exchange rate as of the “next day” is set by the Central Bank of Russia, every day, except Saturday and Sunday, at 11:30 Moscow time.

A stock index is a calculated value that is formed on the basis of the prices of all shares included in the calculation of this index that are traded on a given exchange.

Stock indices are calculated based on a certain number of securities. The number of shares that contribute to the calculation of a particular stock index is usually indicated at the end of its name, for example, DAX 30, CAC 40, FTSE 100. Thus, changes in the value of the stock index reflect the price dynamics of tens, hundreds and even several thousand shares.

Stock indices are special mathematical indicators that reflect the dynamics of the exchange rate of the stock market, market sectors or other representative group of assets traded on the market.

Stock indices are instruments that give an idea of the current state of the stock markets, in other words, they show the direction of market movement. They are often also called stock funds.

The stock index is especially interesting for analysts in terms of dynamics: the assessment of the direction of market movement is carried out precisely on the basis of changes in the index over time, and the prices of shares in a selected group can change in completely different directions. Depending on the selected indicators, stock indices allow you to get an idea of changes within a particular sector or the entire market as a whole.

In the modern securities market there is a variety of exchange (stock) indices. Indices can be sectoral, regional, summary and global. They can be used in any market: commodity, currency, stock. Nowadays, there are over two thousand different stock indices in circulation. The publication of indicators of the main stock indices can be found in the public domain.

FUNCTIONS OF STOCK INDICES

Stock indices were invented to give traders the information they needed about what was happening in the market. Therefore, initially they performed only an information function. Reflecting the direction of movement of stock quotes - up or down, the indices showed the trends that the stock market takes and the speed of their development.

With time and the improvement of the technology for developing stock indices, new functions appeared:
1. Indicative function - the stock index is the starting point for analyzing the behavior of investors and portfolio managers.
2. Demonstrative function - a guideline for the selection of securities in the investment portfolio, determining the directions and proportions of investment.
3. Diagnostic function: The price movement of a particular stock can be compared with a market or segment index and conclusions can be drawn about the demand for the stock in the context of the entire market.
4. Forecast function - the accumulation of certain data on the state of stock market indices made it possible to use them as a forecast.
5. Speculative function (object of trade) - stock indices are able to instantly respond to changes in a wide range of phenomena of an economic, political and social nature.

METHODS FOR CALCULATING STOCK INDICES

Four main methods are used to calculate stock indices:
1. Simple arithmetic mean method.
2. Simple geometric mean method.
3. Weighted arithmetic mean method.
4. Weighted geometric mean method.

The simple arithmetic average method is calculated as follows: the prices of all assets included in the index at the close of trading are added up and the amount is divided by the number of assets. This method is the simplest. Its disadvantage is that it does not take into account the weight of each asset. Currently, this method is used to calculate the Dow Jones family indices.

The simple geometric mean method is carried out by multiplying the prices of the stocks that make up the index. The nth root of this product is then taken, where n is the number of stocks in the index. It also does not take into account the difference in trading volumes of shares of different companies.

The formula for calculating the index using the arithmetic weighted average method and the weighted geometric average method contains an additional element. Most often, the company's market capitalization indicators are used as weights. Those. the change in the company's price is multiplied by its size (capitalization). This weighting leads to the fact that large companies influence the index more significantly than small ones.

The stock index can be calculated at certain intervals:
1. At the beginning of each month (on a certain date).
2. Daily at the set time (Skate-Press indices are calculated daily at 14:00 Moscow time), based on the results of the trading session (RTS system indices).
3. In real time (the World Index is recalculated immediately after the next transaction is concluded).

A stock index taken in isolation, without connection with other indices, is not of particular interest. They are valuable because they are calculated on a specific date and collectively present a certain picture.

MAIN STOCK INDICES

The Dow Jones stock index (DJIA) is one of the most famous indices in the world. It was first used more than a hundred years ago. Since 1928, the index has been consistently calculated using the stock prices of thirty companies. The arithmetic average of the stock prices of these thirty largest US companies, also called “blue chips”, is the famous Dow Jones stock index. Its value is measured in points. An increase (or decrease) in the index by one point means that the average price of the stocks included in the calculation increased (or decreased) by one dollar.

In addition to the main one, the Dow Jones stock indices are also calculated for specific market sectors:
a) for shares of 20 leading transport companies;
b) for shares of 15 leading public utility companies;
c) a composite index, which includes stock prices of 65 companies;
d) several other indices.

The importance of the Dow Jones Industrial Average extends far beyond the United States. Since the New York Stock Exchange concentrates about 50% of the total exchange turnover of developed countries. Taking this into account, it is calculated on the exchanges and officially announced every half hour.

The DAX stock index (DAX 30) was first introduced in 1988 and today is the main stock index in Germany. Its calculation takes into account the share prices of thirty leading German companies from different sectors of the economy. Shares of companies included in the calculation of the DAX30 index are listed on the Frankfurt Stock Exchange. The index is weighted by market capitalization.

Based on the results of trading in the electronic system, the Xetra DAX index is calculated; it practically coincides with the DAX 30. However, the electronic session is longer, so closing prices can vary significantly. The DAX 100 and the CDAX composite index are also calculated for 320 stocks.

The FTSE 100 stock index (“Footsie”) began to be calculated on January 3, 1984. It is a weighted arithmetic index calculated on the basis of the 100 largest UK companies by market capitalization listed on the London Stock Exchange.

Once every three months, at the end of the quarter, 250 companies are selected from the London Stock Exchange list, ranking from 101 to 350. Based on the quotes of their shares, the weighted average stock exchange index by capitalization is calculated - the FTSE 250 index.

Based on the shares of 350 companies listed on the London Stock Exchange, the FTSE 350 stock index is calculated, which combines the FTSE 100 and FTSE 250 indices. To take into account shares not included in the FTSE 350, a separate stock index is calculated - FTSE SmallCap.

The Nikkei stock index has been published since September 1950. It is calculated as a weighted average of the share prices of 225 companies in the first section of the Tokyo Stock Exchange, which are the most actively traded.

Stock indices of the NASDAQ family are designed for reliable orientation in the conditions of the American high-tech market and help to adequately take into account the impact of US political and economic events on business areas related to the functioning of this market. The most well-known indices are the NASDAQ 100 and NASDAQ Composite, and the latter index uses almost all stocks traded on the NASDAQ exchange. These are shares of high-tech companies that are engaged in the production of computer equipment and equipment, the creation of software and telecommunications, and the introduction of biotechnology achievements.

Stock indices CAC-40 and CAC General are the main indices for the French stock market. The CAC 40 is calculated based on the shares of the 40 largest issuers traded on the Paris Stock Exchange. The index futures contract is arguably the most popular and traded futures contract in the entire world. CAC General is calculated based on the shares of 250 of the largest and most stable French companies. This index is calculated by the Paris Bourse and the Society of French Exchanges.

The Standard & Poor’s 500 stock index (S&P 500) has received the figurative name “barometer of the American economy” for its special indicators. The market value-weighted stock index includes the value of shares of 500 American corporations traded on the New York Stock Exchange and the NASDAQ Stock Exchange, two of the most important stock exchanges in the United States. Corporations are represented in the following proportion: 400 industrial, 20 transport, 40 financial and 40 utility companies.

Russell stock indices are calculated by Frank Russell Company. Among the most famous: The Russell 3000 Index reflects the performance of the 3,000 largest US companies by market capitalization, which account for about 98% of the value of the entire US stock market. The Russell 1000 Index reflects the performance of the 1,000 largest companies in the Russell 3000 Index, which represent approximately 92% of the total market capitalization of the companies represented in the Russell 3000 Index. The Russell 2000 Index reflects the performance of the 2,000 smaller companies that make up the Russell 3000 Index, which represent about 8% of the total market capitalization of the companies in the Russell 3000 Index.

The MSCI Emerging Markets stock index includes 26 indices of emerging markets, including Russia, Mexico, Thailand, etc. The calculation of the stock market index of emerging countries (another name is the emerging market index) is carried out by Morgan Stanley. The same company also undertakes the publication of the index.

The IPS stock index is calculated based on stock prices of 35 leading Mexican companies as weighted by capitalization. The list of stocks for calculating the IPS stock index is not constant and is updated every 2 months.

The Bovespa stock index takes into account the most liquid shares of Brazilian issuers listed on the Sao Paulo Exchange. It is the leader among stock indices in terms of instability: a tenfold decrease in its value was observed 10 times. The reason for the instability of the index was the catastrophic inflation in Brazil (up to 2500% per year), which absorbed the famous “Brazilian economic miracle”.

The RTS stock index is calculated based on the total value of shares of 50 Russian companies. It is considered the main indicator on the Russian securities market. RTS, or Russian Trading System (RTS) is a stock exchange founded in 1995 with the aim of creating a centralized securities market in Russia on the basis of the previously established regional stock markets that were functioning at that time. The RTS family of indices (RTS) includes several indices and is designed to assess the market capitalization of the largest companies in the Russian Federation.

MICEX (Moscow Interbank Currency Exchange) is a trading platform on which the vast majority of transactions involving shares of Russian issuers are concluded. The MICEX stock index is an effective capitalization-weighted stock market index of the market for the most liquid shares of Russian issuers in circulation on the MICEX Stock Exchange CJSC. An index management system is used to calculate this index. The inclusion of specific companies in the MICEX index is carried out by the Index Committee.

Application of stock indices

Stock indices are used for market analysis, trading and comparison of the effectiveness of investment strategies.

The stock index is an indicator of the economic situation in the country where a particular company is located. By comparing narrow indices with each other, as well as comparing the dynamics of exchange prices for one individual share of a company, a trader can predict the rise or fall of the shares of a given company.

Securities are based on some stock indices, namely futures and options. By analyzing the performance of indices, investors can also predict the fate of these securities in the market.

Comparing the performance of a fund (or portfolio) with stock indices allows us to evaluate the achievement of the fund manager in comparison with the benchmark (benchmark - the underlying index).

Index trading, compared to stock trading, provides traders with a number of advantages. These include the lack of need:
- study financial reports of companies,
- calculate coefficients,
- assess the development prospects of the company and/or industry.