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An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns

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  • K. Lebedeva

    (Financial University)

Abstract
The study aims to identify whether illiquidity and returns in the Russian stock and bond markets may be forecasted with the help of local macroeconomic variables, internet queries, global factors as well as the fundamental asset classes’ characteristics. To address these questions we use the correlation analysis, the VAR analysis and Granger causality tests. Despite the structural instability of the Russian financial markets, the market microstructure variables influence each other and are affected by the characteristics of other asset types. In highly volatile markets dynamic models should be applied. Stock and bond returns may be used for forecasting liquidity and volatility in the Russian market. Stock illiquidity is not useful for forecasting returns in the Russian market as opposed to the US and UK markets. In the Russian market investors rely on risk factors rather than on illiquidity measures in decision-making process. Bond maturity in the Russian market has a significant impact on the bonds’ characteristics and implicitly on switching between different asset classes similarly to the US market. Increase in the number of internet queries may serve as an indicator of higher volatility and illiquidity in the Russian stock market in the future, but Google Trends should be used only in combination with other forecasting tools such as macroeconomic measures and political situation analysis. Целью работы является исследование возможностей прогнозирования неликвидности и доходности на российских рынках акций и облигаций с помощью макроэкономических переменных, данных по запросам в сети Интернет, глобальных факторов, а также фундаментальных характеристик различных классов активов. Для изучения данного вопроса используются корреляционный анализ, система векторных авторегрессий и тест причинности Грейнджера. Несмотря на структурную нестабильность российских финансовых рынков, переменные микроструктуры рынка влияют друг на друга и подвержены влиянию характеристик других классов активов. Для анализа рынков с высокой степенью волатильности необходимо использовать динамические модели. Доходность акций и облигаций может быть использована для прогнозирования ликвидности и волатильности на российском рынке. В отличие от рынков СШАи Великобритании фактор неликвидности акций не эффективен для прогнозирования доходности на российском рынке. В процессе принятия решений инвесторы на российском рынке в большей степени руководствуются факторами риска, чем показателями индикаторов неликвидности. Срок погашения облигаций на российском рынке имеет значительное влияние на характеристики облигаций и косвенно на переключение инвесторов между классами активов, что соответствует ситуации на рынке США. Увеличение количества интернет-запросов по российскому фондовому рынку может служить индикатором повышения волатильности и неликвидности в будущем, но Google Trends может быть использован только в комбинации с другими инструментами прогнозирования, такими как макроэкономические индикаторы и анализ политической ситуации.

Suggested Citation

  • K. Lebedeva, 2015. "An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(3), pages 5-31.
    • Handle: RePEc:scn:00rbes:y:2015:i:3:p:5-31
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