I decided to devote the next few materials to correlations.

The most important thing for all traders of the Russian stock market is the correlation between the Russian market, the S&P500 index and oil prices. There are semi-automatic systems (I saw one of them with my own eyes), when our traders intuitively buy or sell contracts on the RTS index, looking only at the movement of oil prices and S&P500 futures.

In fact, fundamentally, equity markets are primarily a reflection of the interest rate market (bond markets). Interest rates determine in which direction money flows. Everything in the financial world depends on the interest rate market: both currencies (through interest rate differentials) and commodities markets and equity markets. In this financial world, everything is interconnected.

The US interest rate (bond) market is the largest in the world and therefore has the greatest influence on what happens in other financial markets.

However, this relationship is very complex and difficult to track. It is much easier to track other interactions that are more clear and explicit.

The Russian market, in a “rough approximation,” can be considered a derivative of the S&P500 futures (index) and oil prices.

In general, little depends on what is happening here in Russia. It is rare that any event in Russia will cause any noticeable reaction on the entire market. I don’t mean corporate news, although here, too, an accident at some Lukoil enterprise does not always affect its shares, but the same accident at an Exxon plant (paradox) will cause a fall in Lukoil shares. But bad employment data in the United States can cause a real collapse in the Russian market. The financial market is full of such paradoxes.

However, we are not alone. Almost every stock market in the world is closely related to the American stock market and reacts primarily to what happens there. And here, in addition to the fundamental reasons for the interaction of capital markets, the widespread use of automated trading tools also has a strong influence.

This manifests itself especially clearly at the micro level (tics). Each tick movement of the S&P500 index up or down is immediately responded to by a corresponding change in the FTSE, DAX, MICEX, Bovespa indices. This kind of correlation exists everywhere and is the basis for traders’ decisions.

How does this show up on the graphs?

Next are several graphs that show how the S&P500 index, RTS index and oil prices interact with each other. These charts show the change in the S&P500, the RTS index and oil prices as a percentage since the starting point specified on the chart.

The figure highlights the situation in March, when the RTS index followed oil, and not the S&P500 index. This was a period of aggravation of the situation in North Africa and the Middle East. Higher oil prices had a negative impact on the American stock market, but at the same time led to a rally in the Russian stock market.

Pay attention to one more fact: a reversal on the Russian stock market almost always occurs a little earlier than oil prices do.

The following chart shows the same correlations since Ben Bernanke spoke at Jacksonhall where he announced the upcoming QE2 program.

As we can see, almost until the New Year, the S&P500, the RTS index and oil moved almost synchronously. In January-February, there was a seasonal correction in oil, but the Russian market continued to grow along with America, absorbing the money that is usually allocated to investment funds at the beginning of the year.

The following chart shows the same correlations since the peak of the US stock market in 2007. The impressive parabolic rally in oil was still only slightly able to drag down the Russian stock market.

What is noteworthy in this graph is the stability of the spread between oil prices and the RTS index.

The following graph shows us the correlations since January 2004. Investing in the American stock market did not bring any profit during this period.

And finally, the most impressive graph from this series: since the beginning of 2000

As we can see, while oil and the RTS index showed very strong growth during this period, 450% and 1500%, respectively, the American stock market practically did not leave the negative zone during this time.

Undoubtedly, there are other factors that influence the Russian stock market. For example, the ruble exchange rate. The strengthening of the ruble exchange rate leads to an influx of money into the Russian market. An increase in the refinancing rate leads to an increase in the ruble and, accordingly, contributes to the growth of the Russian market (usually it is won back in advance by insiders).

When the dollar becomes cheaper relative to the ruble, then, if we assume that asset prices in rubles remain unchanged, they should therefore rise in price relative to the dollar and other currencies.

Perhaps the dependence of the Russian market on oil prices expresses the relationship of the market with changes in the exchange rate of the national currency with some correlating coefficient.

Therefore, although there is also a certain correlation here, there is no point in identifying the interaction of the RTS index with the exchange rate of the ruble or some other currency.

In short, the following conclusions can be drawn:

The interaction of the Russian stock market with the S&P500 index reflects global market sentiment towards stock markets in general

The interaction with oil prices reflects both the traditional dominance of oil and gas stocks in Russian indices, and much of the interaction with changes in exchange rates.

There are other correlations that need to be taken into account when investing in the Russian stock market: for example, the interaction of the Russian market with the inflow/outflow of foreign capital.

RTS Index was a key indicator of the “Russian Trading System” - a platform formed in 1995 in Moscow. After the merger of the RTS exchange with the MICEX in 2011 and the emergence of a new legal entity, the index came under the management of the created Moscow Exchange.

RTS index rate right now on the stock exchange online

The oldest stock index, the RTS, reflects the dynamics of 50 companies trading on the Russian market with the largest capitalization. The list of instruments until December 2011 was compiled by the RTS stock exchange. After the merger with the MICEX, the list began to be formed by the Moscow Exchange.

• There is also an index RTS ─ 2, including second-tier securities;
• RTS Standard, reflecting the dynamics of the 15 most liquid shares of the domestic market;
• RVI, which is a volatility index and seven sectoral indices.

The RTS index, calculated in dollars, has been experiencing a permanent decline since 2011, when it reached 2,134.23 points. Economists see several reasons for this: the gradual displacement of domestic companies from the global market, the gradual replacement of the dollar in interbank and international settlements, the intensification of trade in the ruble-yuan pair and the transformation of the ruble into the reserve currency of trade in the CIS.

The introduction of the RTS index coincided with the birth of the exchange of the same name: on September 1, 1995, it was introduced at 100 basis points. Like the competitive one at that time, it showed a dizzying rise until 2008, reaching 2,498.10 points on May 19. True, by October 28, when the American mortgage bubble collapsed and the crisis began, the RTS Index fell to 549.06 points.

Beginning in 2010, the index position began to recover and lasted until 2011. On the eve of Cosmonautics Day, on April 11 it reached 2,134.23 points, after which the upcoming

merger of the RTS and MICEX exchanges, and it went down. If in this year the maximum quote exceeded 2,100 basis points, then by 2015 the peak was 1,092.52 basis points. 2016 started in minor - 730 points.

Composition of the RTS index

Companies included in the RTS index

1	GAZP	PJSC Gazprom, JSC	15,00%
2	SBER	PJSC Sberbank, JSC	12,84%
3	SBERP	PJSC Sberbank, ap.	0,92%
4	LKOH	PJSC LUKOIL, JSC	11,94%
5	MGNT	PJSC "Magnit", JSC	7,38%
6	SNGS	OJSC "Surgutneftegas", JSC	3,60%
7	SNGSP	OJSC "Surgutneftegas", ap.	2,86%
8	NVTK	OJSC NOVATEK, JSC	6,13%
9	GMKN	PJSC MMC Norilsk Nickel, JSC	5,10%
10	VTBR	VTB Bank (PJSC), JSC	4,32%
11	ROSN	OJSC NK Rosneft, JSC	4,06%
12	TATN	PJSC Tatneft named after. V.D. Shashina, JSC	2,64%
13	TATNP	PJSC Tatneft named after. V.D. Shashina, ap.	0,34%
14	TRNFP	JSC AK Transneft, ap.	2,83%
15	MTSS	PJSC "MTS", JSC	2,44%
16	CHMF	PJSC Severstal, JSC	1,49%
17	MOEX	PJSC Moscow Exchange, JSC	1,32%
18	YNDX	Limited liability company "Yandex N.V.", shares of a foreign issuer	1,10%
19	MFON	PJSC MegaFon, JSC	1,07%
20	ALRS	AK "ALROSA" (PJSC), JSC	1,06%
21	RTKM	PJSC Rostelecom, JSC	0,87%
22	RTKMP	PJSC Rostelecom, ap.	0,11%
23	HYDR	PJSC RusHydro, JSC	0,97%
24	URKA	PJSC Uralkali, JSC	0,85%
25	PHOR	JSC PhosAgro, JSC	0,80%
26	BANE	PJSOC Bashneft, JSC	0,42%
27	BANEP	PJSOC Bashneft, ap.	0,38%
28	AFKS	JSFC Sistema JSC	0,74%
29	NLMK	OJSC "NLMK", JSC	0,71%
30	POLY	Polymetal International plc, shares of a foreign issuer	0,68%
31	PIKK	PJSC "PIK Group of Companies", JSC	0,55%
32	EONR	JSC "E.ON Russia", JSC	0,45%
33	RUAL	United Company RUSAL Plc, shares of a foreign issuer	0,43%
34	MAGN	OJSC MMK, JSC	0,40%
35	LNTA	Lenta Ltd., DR of a foreign issuer for shares (DR issuer - Deutsche Bank Luxembourg S.A.)	0,29%
36	LSRG	PJSC LSR Group, JSC	0,28%
37	IRAO	PJSC Inter RAO, JSC	0,27%
38	AKRN	JSC Acron, JSC	0,26%
39	AFLT	PJSC Aeroflot, JSC	0,25%
40	MVID	PJSC "M.video", JSC	0,22%
41	DIXY	PJSC DIXY Group, JSC	0,21%
42	AGRO	ROS AGRO PLS, DR of a foreign issuer for shares (DR issuer - The Bank of New York Mellon Corporation)	0,20%
43	FEES	PJSC FGC UES, JSC	0,20%
44	GCHE	PJSC Cherkizovo Group, JSC	0,19%
45	PHST	PJSC Pharmstandard, JSC	0,17%
46	VSMO	PJSC VSMPO-AVISMA Corporation, JSC	0,16%
47	TRMK	PJSC TMK, JSC	0,15%
48	NKNC	PJSC "Nizhnekamskneftekhim", JSC	0,14%
49	RSTI	PJSC Rosseti, JSC	0,12%
50	MTLR	Mechel OJSC	0,11%

To add shares to the RTS index, certain conditions must be met:

• Securities must be traded on
• The liquidity threshold should remain at the level of the 50 most traded instruments for a long time.
• After the initial public offering of the company's shares on the market, at least six months must pass

Until December 2010, changes in participating shares occurred on the 15th day of the last month of the current quarter - in March, June, September and December. Since 2010, the dates have been shifted by one day in order to unify them with the MICEX indices - the composition changes on March 16, June, September and December. The selection of shares is carried out by the index committee of CJSC MICEX Stock Exchange, which includes analysts and professionals.

Calculation of the RTS index

The methodology for calculating the RTS index is similar to that of the MICEX, with the only difference being that the basic formula contains a cross rate, which means the value of the quoted share in rubles.

• I сn– the value of the dollar index at the moment n;
• MC cn– the total value (capitalization) of all shares at the time n;
• D cn– value of the divisor at the moment n;
• The divisor is 148,870,001.744.

The capitalization of companies is calculated using the following formula, where:

• N– total number of shares;
• P ci - the price of a particular share, expressed in US dollars;
• Q i– the total number of shares of one category (type) of one issuer;
• FF i– correction factor taking into account the number of securities of the same type in free circulation (free-float);
• W i– coefficient limiting the share of capitalization of a particular stock (weighting coefficient).

The share price in US dollars is calculated using the formula where:

• P i– share price in rubles;
• K n– exchange rate of the US dollar to the Russian ruble at the moment.

Advantages of the RTS Index

• calculated in dollars;
• is the second most important index of the post-Soviet space;
• has been under pressure from bears in recent years;
• reflects the state of a large number of participants - 50;
• is an indicator of the participation of the American currency in settlements.

The RTS index is strongly tied to the commodity sector - oil and gas production enterprises account for over half of the capitalization. The second most important segment is financial, it occupies 17%, followed by metal mining - just under 10%. Consumer sector - less than 9%, telecommunications - less than 7%. Transport and mechanical engineering - less than 1%.

Considering the desire of the United States and OPEC to squeeze Russia out of the world hydrocarbon market and replace oil and gas with shelf products, constant disputes regarding Arctic oil and opposition to the construction of “streams” - northern, blue, Turkish and “Power of Siberia” - the role of the RTS as a significant indicator of the domestic economy, under pressure.

Recently, the leaders in decline have become not oil sector companies, but financial institutions: the same Sberbank, which has always shown stable results, is capable of losing up to 2-3% per day. Quotes from Yandex, Norilsk Nickel and RusHydro are not always successful. Although the last two companies are included in the first echelon of the MICEX and attract stable interest from serious investors.

Interest in shares included in the RTS index is due to the fact that these assets have maximum liquidity and the greatest attractiveness from both investors and speculators. The total capitalization is $117.4 billion. This amount, of course, cannot be compared with the American stock market, but nevertheless it is a very impressive figure.

Dependencies

• commodity index, tied to oil and gas prices;
• is losing ground due to Moscow’s refusal to pay in dollars;
• depends on the global situation more than on the situation in Russia;
• is in the shadow of the MICEX, which seriously hinders development.

Buy RTS index

To make money on index movements, you need to buy or sell a futures, option or CFD contract on the RTS. At the same time, it is important to understand that these are already instruments of the derivatives market and they all have one or another lifespan (usually several months). This has a particularly strong impact on futures and options trading.

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Both stocks and indices are often used to forecast the foreign exchange market. It’s not surprising, in this world of speculators, everything is interconnected one way or another. Of course, the stock market is the most frequent guest of financial news on TV and on the Internet. Shares this, shares that... Apple shares rose by 5%, well, great, I just love my iPhone.

Here we can immediately see the connection between stocks and currencies. For example, if you want to buy shares of a Japanese company on the Tokyo Stock Exchange, you can only do this in the national currency. As a result, your rubles or whatever you have in your stash will need to be converted into yen (JPY), which naturally leads to an increase in demand for it. The more shares are purchased on the Tokyo Exchange, the more in demand the yen is. And on the contrary, the more currency is sold, for any purpose, the less its value.

When a country's stock market seems tasty and nutritious to investors, they begin to flood it with money. Conversely, if a country's stock market is in ruins, investors flee it headlong, looking for more attractive places to invest.

BO and Forex traders, naturally, do not buy shares (except perhaps CFDs on them), although many BO offices accept bets on their quotes. Despite this, the state of the world's leading stocks should be of primary interest to you.

If one country's stock market performs better than another, capital from one country will flow to the other. This will have an immediate impact on their currencies. Where there is money, the currency is stronger, and where the stock market is weak, the national currency weakens.

• A strong stock market means a strong currency.
• A weak stock market means a weak currency.

In other words, there is often a direct correlation between the state of the stock market and the exchange rate of the national currency. The yuan fell - before that the Shanghai Stock Exchange collapsed. MICEX (Moscow Exchange index) is growing - the ruble is following it.

The easiest way to track the state of the stock market is to put a special index on the chart. It has a price, like every asset, and it is very convenient to monitor it.

Major world indices

Let's look at the key world indices that interest us. As you will immediately notice, many of them correlate and complement each other.

Dow Jones Index

The oldest and most famous index in the world. In fact, there are several of them, but the most popular is called the “Dow Jones Industrial Average”, also known as the Dow Jones Industrial Average (ticker DJIA).

A key US stock index of 30 companies with publicly traded shares. By the way, despite the name, these companies are not particularly connected with industry, because it is not in favor now. There are simply 30 of the largest companies in America.

This index is closely watched by investors around the world. It is an excellent indicator of the overall state of the American economy and reacts to local and foreign economic and political events. The index tracks incredibly wealthy companies, you've heard of most of them. McDonald's, Intel, Pfizer - it's all there.

S&P 500 Index

The Standard & Poor 500 Index, also known as the S&P 500, is one of the most famous indices on the planet. This is a weighted average index of stock prices of the 500 largest US companies.

In fact, this is a key indicator of the entire American economy and its condition is judged by it. S&P 500 Index (ticker SPX) is the most popular index in the world in terms of trading volumes after the Dow Jones Industrial Average.

There are entire funds, be it ETFs or pension funds, whose main task is to track the performance of the S&P 500, in which hundreds of billions of dollars are invested in trading.

NASDAQ Composite

This is the NASDAQ stock index (National Association of Securities Dealers Automated Quotations) - the largest electronic market in the United States, in which more than 4,000 companies and corporations participate.

It is one of the most liquid stock markets in the world. Ticker on the chart NASX.

Nikkei

The Nikkei index is like the Dow Jones Industrial Average, but for the Japanese. It averages out the performance of the 225 largest companies in the Japanese stock market.

Typical Nikkei representatives are Toyota, Mitsubishi, Fuji and others. Ticker on the chart NKY.

DAX

Stands for Deutscher Aktien Index - a German stock exchange index that includes 30 blue chips - the largest companies whose shares are traded on the Frankfurt Stock Exchange.

Germany is the most powerful economy in the EU, so if you are interested in the fate of the Euro, you should look beyond the DAX. The index includes companies such as Adidas, Deutsche Bank, SAP, Daimler AG and Volkswagen. Ticker on the chart DAX.

DJ EURO STOXX 50

The Dow Jones Euro Stoxx 50 Index is one of the key indices in the eurozone, reflecting the success of the largest EU companies. The index includes 50 enterprises from 12 EU countries.

Created by Stoxx Ltd., which is a joint venture of Deutsche Boerse AG, Dow Jones & Company and SIX Swiss Exchange. Ticker on the chart MPY0.

FTSE

Stands for Financial Times Stock Exchange, also known as “footsie” - an index of shares of the largest companies listed on the London Stock Exchange.

There are several varieties of it (this often happens with indexes). Let's say the FTSE 100 includes 100 companies, and the FTSE 250, respectively, the 250 largest companies in the UK. Ticker on the chart FTSE.

Hang Seng

The Hang Seng Stock Index for the Hong Kong Stock Exchange reflects changes in the prices of companies that are listed on the Hong Kong Stock Exchange.

The index includes the 50 largest companies with a capitalization of 58% of the total volume of the exchange. Ticker on the chart HSI.

RTS Index

Our native Russian index (ticker RTS), taking into account the 50 largest domestic companies whose shares are listed on the Moscow Exchange. By the way, it is calculated in US dollars. The list of companies whose shares are included in the index is reviewed every 3 months. The index appeared on September 1, 1995 and received a base value of 100.

The RTS index includes companies such as AFK Sistema, Aeroflot, Bashneft, Lukoil, RusHydro, UralKaliy, Tatneft and many others. There are also varieties of this index - RTS-2, RTS Standard Index and others, but the good old RTS index is the most popular.

As you can see, indices are a simple and very useful thing - they allow you to immediately obtain complete information about the state of not just a single stock market, but also the entire economy of the country as a whole. After all, the state of the largest companies is a key indicator.

The relationship between the stock and foreign exchange markets

Now let’s figure out whether it’s worth taking all these indices into account when working with currency pairs in FX/BO. Of course, it’s worth it - to determine general market trends on higher timeframes (remember).

In general, to be honest, when the stock market is on the rise, investors are more willing to invest in it, buying up the national currency for this. Which naturally leads to its strengthening.

If the stock market falls disconsolately, investors withdraw their money, converting it back into their currency and the national currency weakens. This is exactly the story that is happening here now; just look at the terrifying state of the RTS index, which has been falling since 2011.

However, there are two exceptions - the USA and Japan. The growth of the economies of these countries often leads to the weakening of their national currencies - such a funny paradox associated, however, with certain economic mechanisms.

Let's take a look at how the Dow Jones Industrial Average interacts with the Nikkei.

As you can see, the DJIA and Nikkei 225 index follow each other like a couple in love. At the same time, please note that sometimes the movement of one index anticipates the movement of another, which makes it possible to use such a miniature time machine for forecasts.

USD/JPY and Nikkei index

Let's see how the Japanese index affects the dollar/yen currency. Before the global financial crisis began in 2007, when the world's major economies fell quarter after quarter, there was an inverse correlation between the Nikkei and USD/JPY.

Investors were confident that the performance of the Japanese stock market directly affected the country's economic condition, so the rise of the Nikkei led to a strengthening of the Japanese yen. The opposite situation is also true: if the Nikkei falls, the yen is not doing well either.

And everything was fine until the financial crisis struck. That's when everything turned upside down. As a result, on the chart the index and the currency began to move in the same direction. Miracles, and that’s all: the Nikkei strengthens, the yen weakens and vice versa.

Nevertheless, the correlation remained more than transparent - its polarity simply changed.

USD/JPY and DJIA

Dow Jones index and dollar/yen, are they friends or so, spent the night together and “bye, I’ll call”? It would seem that there should be a clear correlation between them. However, judging by the graph, the situation is not at all so clear-cut. Although there is some correlation, it is not absolute.

It can be seen that after the financial crisis everything got mixed up again and there were periods when, instead of interaction, the chart was like hell.

Well, no one promised it would be easy. It's clear that we need to use technical and fundamental analysis, not to mention tools like , to get the most out of the indices.

EUR/JPY and stock indices

As we have already discussed, in order to buy shares of a company on the stock exchange, you need to exchange your papers for national currency. Let's take the German DAX index. In theory, if the index grows, then the euro also strengthens, because everyone is recklessly buying European shares. And such a correlation does exist, although it is not absolute.

What’s even more interesting is that EUR/JPY also has a correlation with other global stock indices. Not surprising, since the yen, like the US dollar, is considered a “safe haven” in times of economic crises. If the world economy is down and traders are in fear, they often take money out of the stock market, which causes the DAX and S&P 500 indices to fall. As a result, the price of EUR/JPY falls as traders buy the yen.

When everything is good, the girls are beautiful, and the sun is shining, investors pour money into the stock market, then the price of EUR/JPY rises. This is how correlation occurs.

Let's compare EUR/JPY with the S&P 500:

But with DAX:

We see, if not a mirror image, but quite a clear correlation. So be sure to take your favorite currency pair and see if it has any correlation with stock indices or other assets?

Let's say I took my favorite pair GBP/JPY and compared it with FTSE. What do we see? They are clearly interested in being together, what naughty people.

Well, this is from the category of “it’s better to see once.” Correlation of USD/RUB and Brent oil prices. Oil painting, almost Picasso: these guys will obviously kiss and get together, as has happened to them before.

Everything is interconnected

Correlation can be regarded as an additional indicator of the global market trend. If the indicators of two interrelated assets diverge, the trends of each are much easier to determine using technical analysis methods. And you already know what to do with trend lines.

Let's look at a few popular correlations between commodities and currency pairs.

• Gold up, dollar down . During economic crises, investors often buy gold for dollars, which is always in price.
• Gold up, AUD/USD up . Australia is the third largest supplier of gold in the world, so the value of the Australian dollar is largely related to the demand for gold.
• Gold up, NZD/USD up . New Zealand also produces a lot of goldfish.
• Gold up, USD/CAD down . Canada is the 5th largest gold supplier in the world. So if gold prices go up, USD/CAD moves down (because everyone is buying CAD).
• Gold up, EUR/USD up . Both gold and the euro are considered “anti-dollars”. Therefore, an increase in the price of gold often leads to an increase in the EUR/USD rate.
• Oil up, USD/CAD down . Canada is the world's largest oil producer, exporting more than 2 million barrels per day, mainly to the United States. If oil prices rise, the pair on the chart goes down.
• Interest on bonds up/national currency up . Everything is clear here: the more interest government bonds give, the more they are bought for national currency. As the demand for it grows, so does its exchange rate.
• DJIA down, Nikkei down . The economies of the US and Japan are very closely linked and go both up and down together.
• Nikkei down, USD/JPY down . Investors often choose the yen as a "safe haven" during periods of economic troubles.

The stock market, the state of which can be analyzed through indices, most directly correlates with currency pairs. By studying their interaction, you can often find situations where these data diverge in such a way that one indicator acts as a “time machine” for another. In this case, the important fact is not only the correlation itself, but also the change in its polarity from positive to negative and vice versa.

Finally, almost all brokers have the opportunity to work directly on these indices, both in BO and in Forex. Which can be used, even with correlations, even without them.

• Back:
• Forward:

In this topic, I present the results of my study of the dependence of various markets, in particular fRTS and S&P500, and also try to apply the information obtained to directly analyze trading results.

Let me make a reservation again, this is not a scientific article. I am an eternal student, like many others, I just find some of my research particularly interesting.

It’s no secret that our market “follows” Western markets, oil and much more. In general, in modern conditions of globalization, financial markets are much more strongly correlated with each other than they were, say, 20-30 years ago. It is traditionally believed that our Russia mainly depends on American indices, with dependence on oil in second place.
I am a system trader. And I became interested in how the behavior of my systems changes during periods when the Russian market decides to show character and stops following Western platforms. In other words, what is the relationship between the performance of my systems and the change in the correlation coefficient of the RTS futures and the S&P500 index.

But everything is in order. First, let's compare daily data. Correlation coefficients for daily changes (current close to previous day close) on average over the last year. I had to fudge the dates here and there so that most of the days would coincide.

Let me remind you that correlation only reveals the relationship between two data sets, but does not tell us “who is following whom.” The coefficient takes a value from -1 to 1. A complete lack of connection is 0.

The table shows that European markets are highly correlated with each other, are quite similar to the US market and have almost no regard for oil.

Russia “follows” the United States to a greater extent than European markets, and is least correlated with oil.

To be honest, this data is a little unexpected for me. I expected to see the coefficient value for the RTS and S&P more than 0.8. Well, such a weak correlation with Brent also seems strange. But it is interesting to look not just at the correlation coefficient of data for the last year, but at its dynamics.

Here I took several periods, as, for example, in calculating the moving average indicator. The 30-day period turned out to be more interesting for consideration (with a period of less than 15 days, strong outliers of values ​​appear, since on one particular day the markets can move in completely different directions).

Chart for Russia and S&P500 over the last year (30-day correlation):

The indicator shows how similar futures on the RTS index and the S&P500 index have moved in the last 30 days. In the first days of December 2011 - the behavior is on average for November. At the beginning of January 2012 - average behavior for December 2011, etc.

Thanks to the graph, it becomes clear why the correlation coefficient over the past year is not very high: at the beginning of the 4th quarter of the previous year, “similarity” was at the usual high level, but by the end of the year the coefficient dropped from almost a complete repetition of the actions of Americans to extremely average and not representative values<0,6. И очень интересно посмотреть, что же там было раньше:

Chart for Russia and S&P500 based on data from 09/01/2010. to 10/16/2012 (30-day correlation):

What benefit can be derived from all this?

I took the data from this system, namely, the coefficient of the average daily increment for the last 15 transactions. And compared it with the correlation coefficient of the RTS and S&P500:

It is clear from the graph that these two data series are not particularly similar, however, in some areas the coefficient graph moves with the change in the average daily increment. And of course it’s late. Conclusion: it is impossible to use the correlation coefficient to determine when a given trading system “shuts off”.

So what is it, I was counting everything in vain? (Did you read all this in vain? :)) I think there is still some benefit from this data. I suggest that the correlation coefficient can be used as a measure of the nature of the market. If the system begins to produce one loss after another, and at the same time the traditionally high correlation coefficient with America also begins to fall, this indicates that it is not the system that has broken, but the market itself has changed. If the market behavior has returned to its normal state, and the system continues to drain, then this is a reason to think...

What else can you check? For example, I'm going to look at the hourly charts of the RTS and Siploy from 17:30 Moscow time to 00:00 Moscow time. I will also be sure to check the dependence on the amers of my other systems. If you are also interested in this topic, with data for the last year. Use it :)

P.S. By the way, the graph of the correlation coefficient with oil changes along with the “similarity” to the S&P500, and is, presumably, a leading indicator for changes in the correlation coefficient of the RTS and the S&P500...

The development of Russian financial markets is gradually entering the scope of normal economic analysis. The accumulating statistical base allows us to pose a number of questions regarding the patterns of development and functioning of Russian financial markets.

Russian stock exchanges, trading volumes on them and stock prices already provide certain material that allows us to begin the search for stable patterns. Although the period of existence of organized stock trading in Russia is short, the combined use of monthly, daily and hourly observations allows us to pose a number of problems. Among them, naturally, is the question of the relationship between activity on the two exchanges, both in terms of indices and trading volumes, their connection with international indices, and important factors that traditionally influence exchange activity, for example, the dynamics of economic activity in Russia, prices and other. One of the reasons for interest in the dynamics of stock price indices is the slow growth of indices, despite a fairly long economic recovery (Fig. 1).

Fig 1.

A specific feature of Russian reality is the parallel existence of several stock exchanges with different histories and the nature of their organization:

RTS - RTS Stock Exchange (formerly "RTS Trading System"),

MICEX - Moscow International Currency Exchange,

MFB - Moscow Stock Exchange.

Moscow Interbank Currency Exchange (MICEX) is the leading Russian exchange, on the basis of which a nationwide trading system has been created in all main segments of the financial market - foreign exchange, stock and derivatives - both in Moscow and in the largest financial and industrial centers of Russia . Together with its partners (MICEX Clearing House, National Depository Center, etc.), the exchange also provides settlement, clearing and depository services to about 600 organizations - participants in the exchange market. The subject of the MICEX's activities is the organization of trading, settlement, clearing and depository services for participants in the foreign exchange, stock, derivatives and other segments of the financial market.

Having started trading in shares of leading Russian companies only in March 1997, the MICEX has achieved significant success to date. Until August 17, 1998 it ranked 3rd in terms of trading volumes in government securities. As of March 1998, 177 banks and financial companies took part in MICEX trading.

Under the conditions of the “currency corridor” in 1996, the turnover of foreign exchange exchange trading decreased significantly, but the exchange rate remained an important indicator of the market. The Bank of Russia abolished the mechanism for directly linking the official ruble exchange rate to the MICEX and introduced a mechanism for establishing the official exchange rate of the Central Bank of the Russian Federation based on quotes from the exchange and over-the-counter markets. The MICEX introduced a system of currency trading using remote Reuters-dealing terminals, and also began developing a project to create an electronic lot trading system (SELT) for currency. Repo and pawn lending operations began to be carried out in the trading system. The number of GKO dealers increased to 300 organizations, including 120 regional dealers. The MICEX began trading in corporate bonds (RAO VSM), preparing for trading in shares of leading Russian enterprises.

In 1997, the MICEX managed to lay the foundation for the formation of a nationwide system of exchange trading in securities on the basis of its trading and depository complex. Based on the results of transactions in shares, the MICEX began to calculate the Composite Stock Index, which accurately reflected the sharp decline in the securities market in Russia caused by the international stock crisis.

In the first half of 1998, the MICEX continued to develop all sectors of the exchange financial market, focusing on improving the mechanism of trading and settlements for securities and derivatives instruments. As part of the program for creating an interregional trading and depository system for securities, the MICEX and regional exchanges signed a new version of agreements, according to which the regional currency and currency and stock exchanges continued to serve as representatives of the MICEX in the securities market and technical centers for access of regional professional market participants to MICEX trading system.

The installation of new remote workstations has begun, operating in the MICEX trading system via low-speed communication channels. The MICEX transferred the functions of depository services for the market of government, subfederal and corporate securities to the National Depository Center (NDC), established by the exchange and the Bank of Russia. The market for corporate shares and subfederal bonds grew rapidly (the total number of issuers and constituent entities of the Russian Federation is about 100, including Moscow bonds).

The financial crash of 1998 delayed the entry of many shares of “second-tier” companies into the stock exchanges of Russia and the world. A number of companies, especially oil companies and those with foreign capital, were able to expand their presence on stock exchanges and increase their capitalization. As before, Russian shares in the world are associated with Gazprom, RAO UES, YUKOS, LUKOIL and Rostelecom. Although the structure of exchange indices usually includes dozens of leading stocks, there is a huge concentration of trading in only a few securities of key issuers. On the RTS these are RAO UES, Lukoil, Rostelecom, Norilsk Nickel and Yukos; on the MICEX these are the same participants plus bonds; on the MFB it is Gazprom par excellence. The history of stock indices is still very short. The RTS dates back to mid-1995; the MICEX began trading securities only at the end of 1997. Taking into account the crash and devaluation of August 1998, the actual object of quantitative analysis can be the period starting from 1999.

The main focus of the analysis is on the more well-known and active exchanges: RTS and MICEX. One of the first and natural tasks is the need to determine the degree of their connection - in fact, the equivalent of the question of the unity of the process of forming market valuations of companies. Let's consider the degree of coherence of the trading dynamics of shares of the same name on two exchanges in order to make sure that the market is uniform both in terms of pricing and trading volumes. Both exchanges demonstrate active work and expansion of the range of shares and instruments. At the same time, in 2001 there was a sharp increase in turnover on the MICEX, reflecting both general trends in stock trading and the specific institutional features of the two exchanges (see Fig. 2). Trading volumes on the RTS decreased slightly in 2000-2001 - from $509.7 million to $307.1 million per month, while on the MICEX they increased from $817.8 million to $3636.0 million. dollars per month (converted into dollars at the average monthly rate).

Differences in trading volumes on exchanges are complexly related to differences in clientele and the nature of transactions. It is believed that the RTS, where trading is carried out in dollars, is operated mainly by investment banks working with stakes in Russian enterprises. At the same time, Russian capital and Russian exchange players dominate the MICEX. This may be why there are two different indices on the MICEX: the standard SFI; the MICEX Consolidated Stock Index (SFI) is a market value-weighted index of the capitalization of shares included in the MICEX quotation lists. The index calculation methodology is compiled in the traditional style of capitalization-weighted indices (such as S&P, Emerging Market Indices, Dow Jones Global Indexes, DAX family). and MICEX10 Price index, calculated as the arithmetic average of price changes of the 10 most liquid shares admitted to circulation in the Stock Market Section (regardless of their affiliation with the MICEX quotation lists). The composition of the index basket is determined once a quarter based on 4 liquidity indicators. , designed for day traders, and allowing you to track the slightest fluctuations in the prices of major financial instruments.

Rice. 2.

The purpose of the analysis is to show why the capitalization of Russian companies has not grown in recent years in line with the growth of key macroeconomic indicators. Another task is to find a connection between existing indices and stock prices of individual companies from a certain (primary) set of factors, including the influence of the dynamics of stock prices on foreign exchanges.

Trading leading shares of Russian companies.

In fact, index analysis will be determined by the dominance of a limited number of stocks in stock indices. Since trading on the MSE is carried out primarily in Gazprom shares, and the rest occupy the RTS and MICEX platforms to a greater extent, the differences in trading volumes and SFI and RTS indices are determined, first of all, by the trading structure, that is, by the shares that dominate on each of the exchanges.

Table 1 Characteristics of the dynamics of trading volumes in shares of leading companies (million rubles), (monthly data for the period 03.1997 - 12.2001)

Thus, fluctuations in trading on the MICEX are 99% determined by fluctuations in trading volumes in shares of Lukoil, RAO UES, Surgutneftegaz and Rostelecom. On the RTS, the leading role is again played by Lukoil, RAO UES, Norilsk Nickel and Rostelecom, whose total contribution accounts for 97% of the fluctuations in system trading volumes. Estimated as the share of explained variance in a model where trading volumes of the corresponding shares are taken as exogenous variables, and trading volumes are taken as endogenous variables on the stock exchange.. If we take into account that Gazprom's shares are mainly quoted on the MSE, it turns out that only four companies in Russia dominate the market, although YUKOS came close to them at the end of 2001. One can note (Fig. 3) a higher concentration of the three leading shares in trading volume on the MICEX than on the RTS. On the MICEX there is a high concentration of trading in RAO UES shares - 62.5% versus 24.8% on the RTS (as of March 19, 2002).

Rice. 3.

A fundamentally important feature of Russian exchanges is that the leading traded (liquid) shares represent the natural monopoly sector, primarily the energy sector. It's no surprise that two huge energy companies that weren't broken up in the 1990s have more weight on the stock exchanges. At the same time, they are colossally undervalued, including in comparison with the amount of individual energy companies in the case of, for example, the restructuring of RAO UES (provided that the new formations are well managed). In a country with such huge exports of raw materials as Russia, it would be natural to expect dominance of export companies in the metallurgy, oil, fertilizers, etc. sectors. However, so far only LUKOIL and YUKOS are in the top rank of companies in terms of capitalization and trading activity. A number of food industry companies look promising, but so far they have little impact on the overall volume of activity on the exchanges. An important feature and disadvantage of natural monopolies is their dependence on administered prices. This puts them indirectly in a position of dependence on state policy in the field of savings and inflation control, as shown by the debates and decisions of the Government of the Russian Federation in January 2002 to limit the increase in tariffs of Gazprom and RAO UES in a given year within 20%, that is, close to expected inflation .

In this regard, the growth of capitalization of Russian companies (respectively, exchanges) will depend on the position of the above key players, as well as the speed of replenishment of the ranks of “blue chips”, expanding the coverage of active trading by export and processing companies. The quality of management, transparency of accounting and finance (taking into account the new “Arthur Andersen Syndrome”), and improving the quality of corporate governance in general will be conditions for capitalization growth. However, it is worth emphasizing again that in the short term the situation on the stock exchanges seriously depends on 4-5 companies.

The correlation of trading volumes of individual stocks (monthly data) indicates relationships that are far from simple. In particular, pairwise correlations of companies of the same name on the RTS and MICEX give, respectively: 0.62 for RAO UES, 0.41 for Rostelecom and only 0.29 for LUKOIL. Calculations based on residuals give approximately the same results. Returning to the problem of determining exchange turnover for individual shares (only indices were considered above), we note that the growth in trading volumes on the MICEX apparently indicates institutional differences between the two leading exchanges, which gave such a clear effect - high correlation of indices, but accelerated growth in volumes on MICEX. The influx of Russian capital on the MICEX in 2000-2001 caused an increase in the total trading volume.

All Russian national stock price indices naturally correlate well with each other. Correlation coefficients on monthly data showed that trend removal plays a very significant role. Correlation of Russian stock indices, IRR index, Emerging Markets Index (MSCI Emerging Markets Free), Morgan Stanley Capital International index family. and SP500 Belongs to the Standard & Poor's index family - a market value-weighted index of shares of 500 corporations (400 industrial, 20 transport, 40 financial and 40 utilities), listed mainly on the New York and American stock exchanges. On daily data shows good linking of the IRR to SP500 (0.87), as expected (see Table 2). For comparison, we also present the AKM index “AKM Composite Index”, published by the AK&M information agency, is a market value-weighted index of capitalization of listed shares issuers of the agency., independently assessing the dynamics of Russian shares. A less obvious result is the high correlation in the balances between the RDI and both Russian indices. It is likely that the influence of foreign (including Russian by original origin) capital on Russian stock exchanges is expressed in particular in the fact that Russian stocks are influenced by investors' perceptions of emerging markets in general, risks and operating conditions. That is, the depressed state in other emerging markets affects stock prices on Russian stock exchanges. The Russian stock market (reflecting mainly internal factors of exchange rate valuations) was not initially isolated from the rest of the world; now it is worth talking about a rather obvious connection.

Table 2 Correlation of Russian stock indices and the emerging market index IRR (monthly data 1999:01 - 2001:11). Below the central diagonal: correlation of residuals (data with linear trends removed)

Accordingly, the correlation coefficients of the RTS and MICEX10 indices on hourly data (period 01/04/01 11:00 - 06/13/01 16:00) give a predictable result of 0.97. The Granger causality test, conducted on hourly data, rejects the hypothesis that there is no connection between the MICEX10 and RTS indices. F-statistics 71.6 (critical value at 5% significance level 3.0) Thus, according to Granger, changes in the MICEX10 index precede changes in the RTS index with a lag of at least 2 hours. It should be taken into account that more than 70% of trading on the MICEX occurs “online” , while on the RTS there are still certain procedures according to which transactions are fixed in at least half an hour. In addition, it should be borne in mind that the MICEX10 index is not weighted, and the RTS index is weighted by the capitalization of companies. A similar result was obtained for data with a removed linear trend. F-statistics 82.2 (critical value at 5% significance level 3.0) This very interesting result, apparently, contradicts the usual ideas about the role of exchanges, but makes us think about the connection between the observations of specialists and econometric calculations. The leadership of the MICEX10 index should probably reflect the specifics of trading in RAO UES shares. It is unlikely that individual shares would lead in the opposite direction, although the final decision will require the next step - calculation based on hourly rates of shares of the same name on different exchanges.

Table 3 Correlation of stock indices (daily data, period 01/04/01 - 06/13/01). Below the central diagonal - correlation of residuals (data with linear trends excluded)

Similarly, the Granger test conducted for daily data rejects the hypothesis that there is no causal relationship between the SP500 index and the RRI F-statistic of 7.19 (critical value at 5% significance level of 3.07). For daily fluctuations of the MICEX10 and RTS indices, the Granger test does not allow us to establish such a connection.

Table 4 Correlation between trading volumes (in millions of dollars) and RRI (points) (monthly data 01.1999 - 11.2001): below the central diagonal is the correlation in the balances.

It is interesting to note that when linear trends are excluded, it is possible to obtain a positive correlation between trading volumes on the RTS and trading volumes on exchanges included in the emerging markets index (Table 4). Thus, we can say with some caution that trading on the RTS looks like it is closer to the general activity in emerging markets.

The emergence of the Russian private financial sector was interrupted by the 1998 Crash. Trends in the development of financial markets, especially the banking sector, have changed; non-bank financial institutions have suffered losses, especially due to the default of state bonds. Sharp devaluation, economic recession and a series of bank failures created a new situation for development. Attempts to maintain the ruble exchange rate during the autumn of 1997 - summer of 1998 (three waves of collapse) meant indirectly a sacrifice to the stock market and a gradual slide of GKOs into default, as can be seen from Table 5. The economic recovery of 2000-2002 changed the situation in the country and created general prerequisites for revival in financial markets See, for example, Radygin A., Entov R. “Institutional problems of development of the corporate sector: ownership, control, securities market”, Moscow, IET, 1999..

Table 5 Indicators of the financial crisis of 1997-1998

Index	RTS Index	Weighted average yield of GKOs	Exchange rate
		(rub./dol.)
Change
Change
Change
Change

The recovery of indices on Russian stock exchanges was slow, despite significant (and for many unexpected) growth in GDP and industrial production. To a certain extent, it can be said that the stock market more accurately reflected the progress of reforms, the strengthening of property rights and the growth of profitability of production. Thus, the post-crisis recovery of gross indicators of economic activity could not yet radically change the state of the Russian stock exchange and ensure an influx of capital. The growth of macroeconomic indicators, of course, is only part of the factors determining the stock market situation - the booms of 1994 and 1996-1997 (and subsequent crashes) taught investors a lot. We can talk about a significant strengthening of the level of the exchange rate on the RTS in mid-March 2002 (320-340) and with a forecast of growth to 400 points by the end of 2002 with moderate rates of economic growth in the Russian Federation (about 4% of GDP) E. Epstein “The rally will continue ", "Vedomosti", March 13, 2002.. In fact, the 400 mark was passed already in May. The general situation of stability contributes to the growth of stock prices. In addition, a large volume of acquisitions of enterprises, although happening “behind the scenes”, affects the stock exchange. "Vedomosti" dated April 24, 2002.1.

Data on the trading structure show that most Russian monthly indices, for which statistics can be available for 4 years, have almost similar coefficients of variation (about 0.5). At the same time, it can be noted that according to daily data, Russian indices show twice as much variation (in the first half of 2001 we selected) than the SP500 index or IRR (0.09-0.12 versus 0.06). Accordingly, the spread of hourly data on the MICEX index was higher than on the RTS, which apparently reflected a higher trend component on the former. Thus, during the period from January 1, 1999 to the end of 2001, the RTS index grew from 70.8 to 260.0 points (by 260%), and the MICEX index (SFI) from 45.3 to 237.6 points (by 426%). .

Analysis of the graphical representation of monthly data made it possible to single out the period from the beginning of 1999 as relatively homogeneous. This choice is confirmed by the Chow breakpoint test, which determined the breakpoints for some models between 08.1998-03.1999. For a number of variables there is a break point at 03.2000. Further analysis of all data was carried out for the homogeneity period 01.1999 - 12.2001. Thus, almost the entire period of rapid economic growth was involved in the analysis of activity indicators of Russian exchanges - see Figure 4.

Rice. 4.

For the analysis, monthly data on stock indices were used: the MICEX10, SFI and RTS indices in currency values, the AK&M index, as well as data on trading volumes on the MICEX and RTS, million rubles. In addition, a number of macroeconomic indicators were considered: average export price of crude oil, dollars/ton (OIL); average wholesale prices for oil, thousand rubles/ton (OIL); gas, thousand rubles/m3 (GAS); electricity, thousand rubles/thousand kWh. (ENERGY); natural gas production, billion m3, seasonally smoothed at the annual level (GAS_PRODUCTION); oil production, million tons, seasonally smoothed at the annual level (OIL_PRODUCTION); exchange rate, rub/dollar (RATE); volume of industrial production, million rubles. at prices 12.92 (PP); consumer price index (CPI), SP500 index (SP500), MSCI emerging markets index (EMI). Sources: statistical data from the Vedi analytical laboratory; statistical supplement to Russian Economic Trends, RECEP (January 2002); statistics of trading centers RTS and MICEX

The role of world oil prices and bond yields was tested - standard factors that should influence the dynamics of stock exchange indices in a market economy. In this case, all models were first built on the interval 03.1997-12.2001, then examined for stability (Chow test), and after choosing a period of homogeneity, they were evaluated on a shorter interval (01.1999 - 12.2001). All series of source data on the analyzed interval are stationary and have an autoregressive component. The Granger test, which allows us to establish cause-and-effect relationships between variables, led to the inclusion of a number of lagged variables in the models. In particular, it was found that:

The dynamics of the ruble exchange rate affects the Granger with a lag of 1 - 3 months on the SFI index, AKM index, RTS index and the corresponding trading volumes on the RTS and MICEX;

The dynamics of domestic oil prices have a Granger effect on trading volumes on the MICEX with a lag of 1 - 3 months;

The dynamics of domestic gas prices have a Granger effect on trading volumes on the RTS with a lag of 1 - 3 months;

The dynamics of the IRR index Granger influences with a lag of 1 - 3 months the SFI index, AKM index, RTS index and trading volumes on the RTS.

Table 6.1 Correlation with main economic indicators (monthly data, period 1999:01 - 2001:12)

Table 6.2 Correlation with output of fuel and energy industries (monthly data, period 1999:01 - 2001:07)

The nature of the correlation of stock indices as a whole is quite consistent with analysts' expectations. In a country with a large oil and gas factor, stock indices correlate well with oil and gas prices. The impact of the ruble exchange rate is predictable, since the indices are given in dollar terms. In fact, there is a hidden dollar valuation of the shares by investors. The expected correlation is observed between stock market indicators and the index of consumer prices and industrial production. The correlation with the Morgan Stanley Emerging Markets Index (EMI) turned out to be negative for the MICEX and positive for other exchange indicators (especially on the RTS), which is also easily explained in connection with the more active dynamics of the indicators of this exchange.

All three stock indices (including AKM) showed a lagged dependence on the RRI index, which indicates a gradual convergence in the dynamics of stock market indicators of countries with emerging markets during the period under review.

Macroeconomic indicators such as the consumer price index and industrial production, despite the high correlation, turned out to be insignificant in the equations. This result is probably the most important. Paradoxically, it points to the underdevelopment of financial markets - key macroeconomic factors do not yet play a clear role in determining the level of stock indices. Despite the high correlation between oil export prices and indices and trading volumes, no cause-and-effect Granger effect of world oil prices was found. Like domestic prices, oil export prices turned out to be insignificant as factors. Moreover, in contrast to internal prices, which significantly influence the dynamics of trading volumes on the MICEX, external prices in a similar specification are insignificant.

Most financial analysts, when speaking about the impact of world oil export prices on stock indices in the Russian Federation, usually mean, first of all, a high correlation coefficient or specific events such as OPEC decisions. This analysis covers a limited period of time and cannot serve as a basis for categorical conclusions, but the lack of influence of oil prices on stock indices in an oil-exporting country makes us want to build an ad hoc hypothesis. At the same time, this suggests that investors and shareholders do not expect a significant increase in the value of shares after the price increase. For now, factors at the level of restructuring companies and increasing their transparency are stronger than general economic factors.

In 2001, the RTS index grew by 70%, and in December there was a real boom. As a result of the influx of capital from international markets, the RTS index rose by 33 points this month. The overall revaluation of the Russian market is based on Russia's recent moves towards rapprochement with the West, as well as its positive economic development record. Moreover, observers suggest that only last year’s international events and unfavorable market conditions prevented a more significant revaluation of Russian securities quotes.” Russian Economic Trends Monthly, RECEP, January 2002. At the same time, analysts usually highlight oil prices, as well as the influence of the NASDAQ indices. A market value-weighted index of over-the-counter turnover, which includes shares of 3,500 corporations (except those listed on exchanges)., S&P500, dynamics country ratings of international agencies (Moody's, S&P), as well as the situation in the financial markets of Turkey, Argentina, etc. as factors affecting Russian stock markets.

Trading volumes on both leading exchanges turned out to be statistically dependent on oil prices and gas production on the MICEX and the ruble exchange rate and gas production on the RTS. The first dependence apparently reflects fluctuations in the influx of capital to the exchanges, and the second - a gradual decline in production.

Trading volumes on MICEX

MICEX-0.4 MICEX(-1)=-242312.57+32.51 OIL(-1)+385.61 GAS PRODUCTION(-1)

Adjusted R^2 = 0.86

F-statistic = 89

Period: 1999:02 - 2001:08

Trading volumes on the RTS

RTS = -187112.91 + 2283.57 RATE(-1) + 231.16 GAS PRODUCTION(-1)

Adjusted R^2 = 0.69

F-statistic = 34

Durbin-Watson statistic = 2.0

Period: 1999:02 - 2001:08

The limited period of calculations and the mass of various factors allow us to consider these results as preliminary and requiring further analysis, especially a more detailed comparison by period. The difference in the correlation dependencies of the MICEX and RTS indices was influenced by a significant increase in stock trading volumes on the former.

In 2003, there was a sharp increase in the volume of trading in shares on the MICEX. And immediately in the next year, 2004, there was a sharp decline; in 2005, trade volumes almost doubled compared to the previous year (see Appendix 1). This year the situation on the stock markets is gradually stabilizing. For example, in September 2006, transactions worth 4,495.8 billion rubles were concluded on all markets of the MICEX Group, which is 6.1% less than the trading volume of the previous month, but 52.5% higher than the same figure in September 2005.

Thus, calculations show a fairly high relationship between Russian stock indices and, quite unexpectedly, with the Morgan Stanley Emerging Markets Index (EMI) for the period from January 1999 to December 2001. The analysis shows a high connection between Russian stock indices at all time points, which indicates significant unity of the stock market. At the same time, it turned out that trading volumes of shares of the same name on the two leading exchanges do not necessarily fluctuate synchronously. Apparently, both leading exchanges in Russia - MICEX and RTS - play an important, but different role in the development of the stock market, complementing each other to a large extent. In any case, it is difficult to imagine a significant stock exchange boom in the future on just one of them. Considering the weakness of the market, the huge path that it still has to go to ensure that the economy’s needs for financial intermediation are effectively met, the multiplicity of exchanges is probably caused by objective reasons of an institutional nature.

The accumulated statistics and knowledge of the processes of determining stock prices is not yet sufficient, but correlation and regression analyzes provide quite meaningful results from the point of view of the impact of macroeconomic indicators on stock indices. The dominance of natural monopolies on the stock exchange in terms of trading volumes naturally limits the possibilities for capitalization growth and makes the dynamics of indices dependent on administered prices, exchange rates and especially oil prices. Further analysis is necessary to identify the stability of the dependencies between the indicators of the two leading exchanges, the interaction of prices and trading volumes for individual shares and the conditions for exiting the “second tier”. The calculations were performed over a certain limited period of time, therefore, the obtained parameters may vary from period to period.

The main thing is that significant structural changes will be required in the Russian economy in order for normal relationships to be established, allowing, for example, to predict the future dynamics of stock indices, in particular in connection with fluctuations in oil prices. One of the side conclusions from the calculations is the relative independence of stock indices from current indicators of economic growth. In particular, the fall in industrial production in February 2002 by 0.5% did not have a significant impact on exchange activity, which is consistent with our calculations. A picture is emerging in which the growth of the future capitalization of Russian companies (and, accordingly, stock market indicators) will depend on a complex, constantly changing combination of internal development factors, macroeconomic and institutional, as well as on the general situation on the stock exchanges of leading developing countries and, in general, on the development of the world economy .