Where are the amers, where are we? Correlation calculation. Correlation between RTS index, S&P500 index and oil prices Correlation between RTS index and ruble exchange rate

RTS index was key indicator"Russian trading system” - a site 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 control of the established Moscow Exchange.

RTS index rate right now on the stock exchange online

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

• There is also an index RTS-2, which includes securities of the second tier;
• RTS Standart, 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 in 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 smooth 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 a reserve currency of trade in the CIS.

Introduction RTS index coincided with the birth of the exchange of the same name: on September 01, 1995, it was put into operation from the mark of 100 basis points. Like the competitive one at that time, it showed a dizzying rise until 2008, reaching the mark of 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.

Starting from 2010, the index positions began to recover, which lasted until 2011. On the eve of Cosmonautics Day, on April 11, it reached 2,134.23 points, after which it was announced about the upcoming

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

The composition of the RTS index

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

• Securities must be traded on
• The liquidity threshold should be at the level of the 50 most traded instruments for a long time.
• After initial placement shares of the company on the market, at least six months must elapse

Until December 2010, the change in participating shares took place on the 15th last month current quarter March, June, September and December. Since 2010, the dates have been shifted by one day in order to unify 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 " Stock Exchange MICEX, which includes analysts and professionals.

Calculation of the RTS index

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

• I cn is the value of the dollar index at the moment n;
• MC cn- the total value (capitalization) of all shares at the moment n;
• Dcn- the value of the divisor at the moment n;
• The divisor is 148 870 001.744.

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

• N– total number of shares;
• P ci - the price of a particular share, expressed in US dollars;
• Q i– total number of shares of one category (type) of one issuer;
• FF i is a correction factor that takes into account the amount valuable papers one type in free circulation (free-float);
• Wi– coefficient limiting the share of capitalization of a particular share (weight coefficient).

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

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

Benefits 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 a large number participants - 50;
• is an indicator of participation American currency in calculations.

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

Given the desire of the United States and OPEC to squeeze Russia out of the world hydrocarbon market and replace oil and gas with offshore products, the constant disputes over 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 terms of decline have become not oil sector companies, but financial structures: the same Sberbank, which has always shown stable results, is able to lose up to 2-3% per day. The quotes of Yandex, Norilsk Nickel and RusHydro are not always successful. Although the last two companies are included in the first echelon of the MICEX and arouse the stable interest of serious investors.

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

Dependencies

• commodity index linked to oil and gas prices;
• loses positions due to Moscow's refusal to settle in dollars;
• depends on the global situation more than on the situation in Russia;
• is in the shadow of the MICEX, which seriously impedes development.

Buy RTS index

To earn on index movements, you need to buy or sell futures, options or CFD contract on RTS. At the same time, it is important to understand that these are already tools. derivatives market and all of them have one or another life span (usually several months). This is especially true for futures and options trading.

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I decided to devote several of the following materials to correlations.

The most important 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 the S&P500 futures.

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

The American interest rate (bond) market is the largest in the world and therefore it provides greatest influence what is happening in other financial markets.

However, this relationship is very complex and difficult to track. Much easier to track other interactions, 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. Rarely, when any event in Russia will cause any noticeable reaction on the entire market. I do not mean corporate news, although here, too, an accident at some Lukoil enterprise will not always affect its shares, but the same accident at an Exxon plant (paradox) will cause Lukoil shares to fall. On the other hand, bad data on employment in the US can make a real collapse in the Russian market. There are a lot of such paradoxes in the financial market.

However, we are not alone. Almost any stock market in the world is closely connected with the American stock market and reacts primarily to what is happening there. And here, in addition to the fundamental reasons for the interaction of capital markets, the widespread use of funds also has a strong influence. automatic trading.

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

How does this show up on charts?

Next are several charts that show how the S&P500 index, the 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 reference point specified on the chart.

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

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

The following graph shows the same correlations since Ben Bernanke's talk at Jacksonhall where he announced the upcoming QE2 program.

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

Next chart shows the same correlations since the peak of the US stock market in 2007. The impressive parabolic rally in oil did little to drag the Russian stock market with it.

What draws attention to this chart is the stability of the spread between oil prices and the RTS index.

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

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

As we can see, while oil and the RTS index showed very strong growth over this period, 450% and 1500% respectively, the US 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 exchange rate of the ruble. 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 recouped in advance by insiders).

When the dollar becomes cheaper relative to the ruble, then, if we assume that the prices of assets in rubles remain unchanged, then they should 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 a change in the exchange rate national currency with some correlation 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 any other currency.

In short, the following conclusions can be drawn:

The interaction of the Russian stock market with the S&P500 index reflects the global market sentiment towards the stock markets as a whole

The interaction with oil prices reflects both the traditional dominance of oil and gas stocks in Russian indexes and much of the relationship with the change exchange rates.

There are other correlations that must 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.

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 received to analyze the results of trading directly.

Again, this is not Research 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 "goes" for Western sites, for oil and much more. Generally, in modern conditions 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 rush is mainly dependent on American indices, in second place - dependence on oil.
I am a system trader. And it became interesting to me how the behavior of my systems changes during periods when the Russian market decides to show character and stops following Western sites. In other words, what is the relationship between the indicators 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 (closing of the current day to the close of the previous day) on average for Last year. I had to fiddle with the dates in some places so that the bulk of the days coincided.

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

The table shows that European markets are highly correlated with each other, are quite similar to the US market and almost do not look at oil.

Russia, on the other hand, follows the US to a greater extent than European sites, and correlates least of all with oil.

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

Here I have taken several periods, as, for example, in the calculation of the moving average indicator. The 30-day period turned out to be more interesting for consideration (with less than 15 daily period there are strong outliers of values, because markets can move in completely different directions on one single day).

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

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

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

Chart for Russia and S&P500 as of September 1, 2010. to October 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 RTS and S&P500:

It can be seen from the graph that these two data series are not very 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 the moments of "disconnection" of this trading system.

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

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

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 the change in the correlation coefficient of the RTS and the S&P500…

The development of Russian financial markets is gradually entering the realm of normal economic analysis. The accumulating statistical base allows us to raise 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 some material that allows you to start looking 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, of course, is the question of the relationship between activity on the two exchanges, both in terms of indices and trading volumes, their relationship with international indices, and important factors that traditionally affect exchange activity, for example, the dynamics of economic activity in Russia, prices and other. One of the reasons for the interest in the dynamics of exchange price indices is the slow growth of indices, despite a rather long economic recovery (Fig. 1).

Fig 1.

The specificity of the Russian reality is the parallel existence of several stock exchanges with different history, nature of organization:

RTS - RTS Stock Exchange (former name "RTS Trading System"),

MICEX - Moscow International Currency Exchange,

MFB - Moscow Stock Exchange.

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

Having started trading in the 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 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 currency exchange trading decreased significantly, but the exchange rate remained an important indicator of the market. The Bank of Russia abolished the mechanism of direct binding of the official exchange rate of the ruble to the MICEX and introduced a mechanism for setting the official exchange rate of the Central Bank of the Russian Federation based on exchange and over-the-counter market quotations. The MICEX introduced a system of foreign exchange trading using remote Reuters-dealing terminals, and also began developing a project to create an electronic lot trading system (SELT) in foreign currency. Repo and pawn lending operations began to be carried out in the trading system. The number of GKO dealers has increased to 300 organizations, including 120 regional dealers. MICEX started trading in corporate bonds (RAO VSM), preparing for trading in shares of leading Russian companies.

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

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

The installation of new remote jobs has begun, working in the MICEX trading system via low-speed communication channels. The MICEX transferred the functions of depositary servicing of the government, subfederal and corporate securities market 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 into the stock exchanges of Russia and the world of many shares of "second tier" companies. A number of companies, especially oil companies and those with foreign capital, were able to expand their presence on the stock exchanges and raise their capitalization. As before, Russian shares in the world are associated with Gazprom, RAO UES, YUKOS, LUKOIL and Rostelecom. Although the structure of exchange indexes usually includes dozens of leading stocks, there is a huge concentration of trading in only a few papers 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, this is Gazprom par excellence. The history of stock indices is still very short. The history of the RTS dates back to the middle of 1995; the MICEX began trading in securities only at the end of 1997. Taking into account the collapse and devaluation of August 1998, the period starting from 1999 can actually be the object of quantitative analysis.

The main focus of the analysis is on the more well-known and active stock 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 connection between the dynamics of trading in shares of the same name on two exchanges in order to make sure that the market is the same both in terms of pricing and trading volumes. Both exchanges demonstrate active work and expansion of the range of stocks and instruments. At the same time, in 2001 there was a sharp increase in turnover on the MICEX, reflecting both the general trends in stock trading and the specific institutional features of the two exchanges (see Fig. 2). The trading volumes on the RTS slightly decreased in 2000-2001 - from $509.7 million to $307.1 million per month, while on the MICEX they grew from $817.8 million to $3636.0 million. dollars per month (converted to dollars at the average monthly rate).

Differences in trading volumes on exchanges are intricately related to differences in clientele and the nature of transactions. It is believed that the RTS, where trading is conducted in dollars, is mainly operated by investment banks that work with blocks of shares in Russian enterprises. At the same time, Russian capital and Russian exchange players dominate the MICEX. Perhaps that is why there are two different indexes on the MICEX: standard SFI The MICEX Composite Stock Index (CFI) is a market value-weighted index of 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 A 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 whether they belong to 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 allows 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 on a par with the growth of the main macroeconomic indicators. Another task is to search for a relationship between the available indices and stock prices of individual companies from some (primary) set of factors, including the influence of the dynamics of stock prices on foreign exchanges.

Trading in leading stocks of Russian companies.

In fact, the analysis of indices will be determined by the dominance of a limited number of stocks in stock indices. Since trading on the MFB is predominantly in Gazprom shares, and the rest occupy the RTS and MICEX sites to a greater extent, the differences in trading volumes and SFI and RTS indices are determined, first of all, by the structure of trading, that is, the shares dominating 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 the volume of trading in shares of Lukoil, RAO UES, Surgutneftegaz and Rostelecom. The RTS is once again dominated by Lukoil, RAO UES, Norilsk Nickel and Rostelecom, which together account for 97% of the system's trading volume fluctuations Estimated as the proportion of variance explained in the model, where trading volumes of the respective stocks are used as exogenous variables and trading volumes as endogenous variables on the stock exchange.. Given that Gazprom's shares are mainly listed on the MFB, it turns out that only four companies in Russia dominate the market, although Yukos approached them at the end of 2001. One can note (Fig. 3) a higher concentration of the top three stocks in the trading volume on the MICEX than on the RTS. The concentration of trading in RAO UES shares is high on the MICEX - 62.5% versus 24.8% on the RTS (as of March 19, 2002).

Rice. 3.

A fundamentally important feature of Russian stock exchanges is that the leading traded (liquid) shares represent the sector of natural monopolies, primarily energy. It's no surprise that two huge energy companies that weren't splintered in the 1990s have more weight on the stock exchanges. At the same time, they are colossally underestimated, including in comparison with the sum of individual energy companies in the case, for example, of the restructuring of RAO UES (provided that the new formations are well managed). In a country with such a huge export of raw materials as Russia, it would be natural to expect the dominance of export companies in the industries of metallurgy, oil, fertilizers, etc. However, so far only LUKOIL and YUKOS are among the first companies in terms of capitalization and trading activity. A number of food industry companies look promising, but so far they have little effect on the overall volume of activity on the stock 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 accumulation, 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 this year within 20%, that is, close to expected inflation. .

In this regard, the growth in the capitalization of Russian companies (respectively, exchanges) will depend on the position of the above key players, as well as the speed of replenishing the ranks of blue chips, expanding the coverage of active trading by export and processing companies. The quality of management, the transparency of accounting and finance (taking into account the new "Arthur Andersen Syndrome"), and the improvement of the quality of corporate governance in general will be the 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 dependencies that are far from simple. In particular, pairwise correlations of companies with 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 for 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 - a high correlation of indices, but an accelerated growth in volumes on the MICEX. The influx of Russian capital to the MICEX in 2000-2001 caused an increase in the total trading volume.

All Russian national exchange price indices naturally correlate well with each other. The correlation coefficients on the monthly data showed that the removal of trends plays a very significant role. Correlation of Russian stock indices, IRR index Emerging Markets Index (MSCI Emerging Markets Free), a family of Morgan Stanley Capital International indices. and SP500 Refers to the Standard & Poor's family of indices - 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 a good peg of the IRR to the SP500 (0.87), which was expected (see table 2) For comparison, we also provide the AKM index The “AKM Composite Index”, published by the AK&M news agency, is a market value-weighted capitalization index of listed shares agency issuers., independently assessing the dynamics of Russian stocks.A less obvious result is a high correlation in the balances between the IRR 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 m, risks and working conditions. That is, the depression in other emerging markets affects stock prices on Russian stock exchanges. The Russian stock market (reflecting mainly internal factors of exchange rate assessments) 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 index of emerging markets IRR (monthly data 1999:01 - 2001:11). Below central diagonal: correlation of residuals (data with linear trends excluded)

Accordingly, the correlation coefficients of the RTS and MICEX10 indices on hourly data (01/04/01 11:00 - 06/13/01 16:00) give a predictable result of 0.97. The Granger causality test, carried out on hourly data, rejects the hypothesis that there is no connection between the MICEX10 and RTS indices. F-statistics 71.6 (critical value at a 5% significance level of 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. , while the RTS still has certain procedures, according to which transactions are fixed in at least half an hour. In addition, it should be kept in mind that the MICEX10 index is not weighted, while the RTS index is weighted by companies' capitalization. A similar result was obtained for data with a removed linear trend. F-statistic 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 one think about the connection between specialists' observations and econometric calculations. The leading position in the MICEX10 index should probably reflect the specifics of trading in RAO UES shares. It is unlikely that individual stocks will reverse lead, although the final decision will require the next step - the calculation of the hourly rates of the same shares on different exchanges.

Table 3 Correlation of exchange indices (daily data, period 04.01.01-13.06.01). Below the central diagonal - correlation of residuals (data with linear trends excluded)

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

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

It is interesting to note that when linear trends are excluded, it is possible to obtain a positive correlation between the trading volumes on the RTS and the trading volumes on the 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 overall activity on emerging markets.

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

Table 5 Financial Crisis Indicators 1997-1998

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 course of reforms, the strengthening of property rights and the growth of production profitability. Thus, the post-crisis recovery of gross indicators of economic activity has not yet been able to radically change the state of the Russian stock exchange and ensure an inflow of capital. The growth of macroeconomic indicators, of course, is only part of the factors that determine 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 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 economic growth in the Russian Federation (about 4% of GDP) E. Epshtein "The rally will continue ”, “Vedomosti”, March 13, 2002. In fact, the milestone of 400 was already passed in May. The general situation of stability contributes to the growth of stock prices. In addition, a large volume of acquisitions of enterprises, although taking place "behind the scenes", affects the stock exchange. "Vedomosti" dated 04.24.2002.1.

Data on the structure of trades show that most of the Russian monthly indices, for which one can have statistics 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 the variation (in the first half of 2001 we have chosen) 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, for the period from January 1, 1999 to the end of 2001, the RTS index rose from 70.8 to 260.0 points (by 260%), and the MICEX index (SFI) from 45.3 to 237.6 points (by 426%) .

An analysis of the graphical presentation of monthly data made it possible to single out the period since the beginning of 1999 as relatively homogeneous. This choice is also confirmed by the Chow breakpoint test, which identified breakpoints for some models between 08.1998-03.1999. For a number of variables there is a break point 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 the activity indicators of Russian stock exchanges - see Figure 4.

Rice. 4.

Monthly data on stock indices were used for the analysis: the MICEX10, SFI and RTS indices in currency terms, 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: the average export price of crude oil, USD/ton (NEFTOE); 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 adjusted at the annual level (PRODUCTION_GAS); oil production, million tons, seasonally adjusted at the annual level (PRODUCTION_OIL); 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 (IRR). Sources: statistical data of the Vedi analytical laboratory; statistical supplement to Russian Economic Trends, RECEP (January 2002); TC RTS and MICEX statistics

The role of world oil prices and bond yields was tested - standard factors that should have influenced the dynamics of indices on the stock exchange in a market economy. In this case, all models were first built on the interval 03.1997-12.2001, then studied for stability (Chow test), and after choosing the homogeneity period, they were evaluated on a shorter interval (01.1999 - 12.2001). All series of initial data on the analyzed interval are stationary and have an autoregressive component. The Granger test, which allows establishing causal relationships between variables, led to the inclusion of a number of lag 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 affects the Granger with a lag of 1 - 3 months on the volume of trading on the MICEX;

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

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

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

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

The nature of the correlation of stock indices as a whole is in line with analysts' expectations. In a country with large oil and gas factors, 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 assessment of the value of shares by investors. The expected correlation is observed between exchange indicators and the index of consumer prices and industrial production. The correlation with the Morgan Stanley Emerging Markets Index (IRR) turned out to be negative for the MICEX and positive for other exchange indicators (especially on the RTS), which is also easily explained due to the more active dynamics of this exchange's indicators.

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

Such macroeconomic indicators as the consumer price index and industrial production, despite the high correlation, turned out to be insignificant in the equations. It is this result that seems to be the most important. Paradoxically, it points to the underdevelopment of financial markets - the key macroeconomic factors do not yet play a clear role in determining the level of stock indices. Despite the high correlation of export oil prices with indices and trading volumes, no causal influence of world oil prices according to Granger was found. As well as domestic prices, export oil prices turned out to be insignificant as factors. Moreover, unlike domestic prices, which significantly affect the dynamics of trading volumes on the MICEX, external prices in a similar specification are insignificant.

Most financial analysts, speaking about the impact of world export oil prices on stock indices in the Russian Federation, usually mean, first of all, a high correlation coefficient or specific events like 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 one want to construct an ad hoc hypothesis. At the same time, the assumption suggests itself that investors and shareholders do not expect a significant increase in the value of shares after a rise in prices. So far, factors at the level of company restructuring 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 capital inflows from international markets, the RTS index rose by 33 points this month. The overall reassessment of the Russian market is based on Russia's recent steps towards rapprochement with the West, as well as the positive indicators of economic development it has achieved. Moreover, observers suggest that only last year's international events and unfavorable market conditions have prevented a more significant revaluation of Russian securities quotes”. Russian Economic Trends Monthly, RECEP, January 2002. At the same time, analysts usually single out oil prices, as well as the impact of NASDAQ indices Market value-weighted index of over-the-counter turnover, which includes shares of 3,500 corporations (except listed on stock 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 the Russian stock markets.

Trading volumes on both leading stock 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 inflow 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 RTS

RTS = -187112.91 + 2283.57 RATE(-1) + 231.16 GAS_PRODUCTION(-1)

Adjusted R^2 = 0.69

F-statistic = 34

Durbin-Watson Stats = 2.0

Period: 1999:02 - 2001:08

The limited period of calculations and the mass of various factors allows us to consider these results as preliminary and requiring further analysis, especially a more detailed comparison by periods. The difference in the correlation dependences of the MICEX and RTS indices was influenced by a significant increase in the volume of trading in shares on the first.

In 2003 there was a sharp increase in the volume of trading in shares on the MICEX. And immediately in the following 2004, its sharp decline is observed, in 2005 there was an increase in trade volumes almost twice as compared with 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% more than in September 2005.

Thus, the calculations show a rather high correlation between Russian stock indices and - rather unexpectedly - with the Morgan Stanley Emerging Markets Index (IRR) for the period from January 1999 to December 2001. The analysis shows a high connection between Russian stock indices on all time indicators, which indicates a significant unity of the stock market. At the same time, it turned out that the trading volumes of shares of the same name on the two leading stock exchanges do not necessarily fluctuate synchronously. Apparently, the two leading stock 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 only on one of them. Given the weakness of the market, the long way that it still has to go to ensure the effective satisfaction of the needs of the economy in financial intermediation, the multiplicity of exchanges is probably due to objective reasons of an institutional nature.

The accumulated statistics and knowledge of stock price determination processes are still insufficient, but correlation and regression analyzes give quite meaningful results in terms of the impact of macroeconomic indicators on stock indices. The dominance of natural monopolies on the stock exchange in relation to trading volumes, naturally, limits the possibilities for capitalization growth and makes the dynamics of indices dependent on administered prices, the exchange rate, and especially oil prices. Further analysis is needed to identify the stability of the relationships 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 on 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 to establish normal relationships that allow, for example, predicting the future dynamics of stock indices, in particular in connection with fluctuations in oil prices. One of the by-products of 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 stock exchange activity, which is consistent with our calculations. A picture is emerging in which the growth of the future capitalization of Russian companies (respectively, stock indicators) will depend on a complex constantly changing combination of internal development factors, macroeconomic and institutional nature, 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 .

Both stocks and indices are often used to predict the foreign exchange market. No wonder, in our world of speculators, everything is somehow interconnected. Of course, the stock market is the most frequent guest of financial news on TV and on the Internet. Stocks this, stocks that… Apple stock is up 5%, great, I just love my iPhone.

There is an immediate 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 so 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 bought on the Tokyo Stock Exchange, the more demanded the yen is. And vice versa, the more currency is sold, for any purpose, the lower its value.

When a country's stock market seems tasty and nutritious to investors, they start flooding it with money. Conversely, if the country's stock market is in ruins, investors run headlong from it, looking for more attractive places to invest.

Traders of BOs and forex stocks, of course, do not buy (except CFDs on them), although many BO offices accept bets on their quotes. Despite this, the state of the shares of the leading countries of the world should be of paramount interest to you.

If the stock market of one country performs better than the market of another, capital will flow from one country to another. This will immediately affect their currencies. Where there is money, the currency is stronger; where the stock market is weak, the national currency weakens.

• A strong stock market is a strong currency.
• Weak stock market - 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. The MICEX (Moscow Exchange index) is growing - the ruble is running behind 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 observe it.

Major world indices

Consider 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. There are, in fact, 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 that combines 30 publicly traded companies. By the way, despite the name, these companies are not particularly associated with the industry, because it is now out of favor. There are simply 30 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, responding 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, it is a key indicator of the entire American economy and is used to judge its state. S&P 500 Index (ticker SPX) is the most traded index in the world 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 have been invested in trading.

NASDAQ Composite

This is the NASDAQ (National Association of Securities Dealers Automated Quotations) stock index, 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 is like the Dow Jones industrial index, but for the Japanese. It averages the performance of the 225 largest companies in the Japanese stock market.

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

DAX

It stands for Deutscher Aktien Index - an index of the German stock exchange, which 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 watch the DAX. The index includes companies like 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 Eurozone indices showing the success of the largest EU companies. The index includes 50 companies from 12 EU countries.

Created by Stoxx Ltd., which is a joint venture between 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 (as it 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 listed on the Hong Kong Stock Exchange.

The index includes 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), which takes into account the 50 largest domestic companies whose shares are listed on the Moscow Exchange. It is calculated, by the way, in US dollars. The list of companies whose shares are included in the index are reviewed every 3 months. The index appeared on September 1, 1995 and received a base value of 100.

The RTS index includes such companies as AFK Sistema, Aeroflot, Bashneft, Lukoil, RusHydro, UralKaliy, Tatneft and many others. There are 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 get complete information about the state of not just a single stock market, but 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 is worth taking all these indices into account when working with currency pairs in FX/BO. Of course, it is worth it - to determine general market trends on higher timeframes (remember).

In general, if not to be wiser, 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 inconsolably, investors take their money, converting it back into their currency, and the national currency weakens. It is this story that is happening now with us, just look at the horrendous state of the RTS index, which has been falling since 2011.

However, there are two exceptions - the US and Japan. The growth of the economies of these countries often leads to the weakening of their national currencies - such a funny paradox, however, associated 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 index and Nikkei 225 follow each other like a couple in love. At the same time, pay attention - sometimes the movement of one index anticipates the movement of another, which allows using such a miniature time machine for forecasts.

USD/JPY and Nikkei Index

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

Investors were sure that the efficiency of the Japanese stock market had a direct impact on the economic condition of the country, so the growth of the Nikkei led to the strengthening of the Japanese yen. The reverse situation is also true, if the Nikkei falls, the yen is not in good health either.

And everything was fine until the financial crisis hit. This is where everything turned upside down. As a result, the index and the currency began to move in the same direction on the chart. Miracles, and nothing more: the Nikkei strengthens - the yen weakens and vice versa.

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

USD/JPY and DJIA

Dow Jones and dollar/yen, are they friends or not, 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 schedule, the situation is not at all so unambiguous. Although there is some correlation, it is by no means unconditional.

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

Well, no one promised it would be easy. It is clear that we need to use technical and fundamental analysis, not to mention tools like , to squeeze the maximum benefit from 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 pieces of paper for the national currency. Take the German DAX index. In theory, if the index grows, then the euro also strengthens, because everyone is recklessly buying up European shares. And such a correlation does exist, although not absolute.

More interestingly, EUR/JPY has a correlation with other global stock indices as well. Not surprising, because 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 scared, they often take money out of the stock market, causing the DAX and S&P 500 to fall. As a result, the price of EUR/JPY falls as traders buy up the yen.

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

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

But with DAX:

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

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

Well, this is from the category of "better to see once." USD/RUB correlation 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 know what to do with trend lines.

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

• Gold up, dollar down . In economic crises, investors often buy gold for dollars, which is always valuable.
• Gold up, AUD/USD up . Australia is the third largest supplier of gold in the world, so the Australian dollar is largely related to the demand for gold.
• Gold up, NZD/USD up . New Zealand also produces a lot of gold.
• Gold up, USD/CAD down . Canada is the 5th largest supplier of gold in the world. Therefore, if gold prices go up, the USD/CAD pair moves down (because everyone is buying CAD).
• Gold up, EUR/USD up . Both gold and the euro are considered such "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 US. If oil rises in price, the pair on the chart goes down.
• Interest on bonds up/nat. currency up . Everything is clear here, the more interest government bonds give, the more they are bought for the 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 times of economic trouble.

The stock market, the state of which can be analyzed through indices, is most directly correlated with currency pairs. By studying their interaction, you can often find situations where these data diverge so that one indicator acts as a “time machine” for another. At the same time, the fact of not only the correlation itself is important, 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. What you can use, even with correlations, even without them.

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