MAPPING THE STOCKS IN MICEX: WHO IS CENTRAL TO THE MOSCOW STOCK EXCHANGE?

Mustafa Eratalay ()

No 111, University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia)

Abstract: In this article we use partial correlations to derive bidirectional connections between major firms listed in the Moscow Stock Exchange. We obtain coefficients of partial correlation from the correlation estimates of the Constant Conditional Correlation GARCH (CCC-GARCH) and the consistent Dynamic Conditional Correlation GARCH (cDCC-GARCH) models. We map the graph of partial correlations using the Gaussian Graphical Model and apply network analysis to identify the most central firms in terms of both shock propagation and connectedness with others. Moreover, we analyze some network characteristics over time and based on these we construct a measure of system vulnerability to external shocks. Our findings suggest that during the crisis interconnectedness between firms strengthens and becomes polarized and the system becomes more vulnerable to systemic shocks. In addition, we found that the most connected firms are the state-owned firms Sberbank and Gazprom and the private oil company Lukoil, while in the top most central in terms of systemic risk contributors Sberbank gave its place to NLMK Group.

Keywords: Multivariate GARCH; Volatility Spillovers; Network connections; MICEX (search for similar items in EconPapers)
JEL-codes: C01 C13 C32 C52 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2018
New Economics Papers: this item is included in nep-fmk and nep-tra
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Related works:
Journal Article: Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange? (2020)
Working Paper: Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange? (2017)
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