We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Mapping the stocks in MICEX: Who is central to the Moscow Stock Exchange?
- Authors
Eratalay, M. Hakan; Vladimirov, Evgenii V.
- 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 CorrelationGARCH (CCC-GARCH) and the consistent Dynamic Conditional Correlation GARCH(cDCC-GARCH) models. We map the graph of partial correlations using the GaussianGraphical 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 systembecomes 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 oilcompany Lukoil, while in the top most central in terms of systemic risk contributors Sberbank gave its place to NLMK Group.
- Subjects
FINANCIAL crises; FINANCIAL markets; ECONOMIC development; MARKET volatility; CENTRALITY
- Publication
University of Tartu - Faculty of Economics & Business Administration Working Paper Series, 2018, Issue 111, p1
- ISSN
1406-5967
- Publication type
Article