Динамическая взаимосвязь объемов торгов и сентимента частных инвесторов российского фондового рынка с Биткоином в периоды внешних шоков
DOI:
https://doi.org/10.22394/1993-7601-2025-79-99-121Ключевые слова:
переток ликвидности, рынок криптовалют, фондовый рынок, сентимент инвесторов, TVP-VARАннотация
Представлен анализ динамической взаимосвязи между объемами торгов на российском фондовым рынке и глобальным рынком криптовалют (Биткоин) в периоды внешних шоков (ковид-кризис и российско-украинский конфликт) с 2019 г. С помощью модели TVP-VAR и оценок связности переменных системы выявлены перетоки ликвидности (движения денежных средств) между рассматриваемыми классами активов. Впервые проведен анализ сетевой связности сентимента инвесторов по наиболее популярным российским акциям и Биткоину и оценена роль сентимента в переливах ликвидности. Результаты показывают, что дневной объем торгов Биткоина преимущественно выступает реципиентом шоков со стороны российского фондового рынка. При этом общая связность в системе была выше в период ковид-кризиса, чем после начала специальной военной операции (СВО). Исследование подтверждает наличие взаимосвязи между настроениями инвесторов на российском фондовом и на криптовалютном рынке. Особенно выраженной эта взаимосвязь была на начальном этапе анализируемого периода — в 2019 г., когда интерес к инвестициям в криптоактивы начал активно возрастать. Отмечается взаимосвязь двух индексов сентимента: на рынках акций и криптоактивов. Интенсивность взаимосвязи превалирует в период начала COVID-19, значительно превосходя уровень, наблюдаемый в период СВО. Такое поведение метрик сентимента может означать адаптацию российского фондового рынка к внешним шокам, а также ожидания розничных инвесторов краткосрочности СВО в начале 2022 г.Скачивания
Библиографические ссылки
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Manevich V. A., Peresetsky A. A., Pogorelova P. V. (2022). Stock market volatility and cryptocurrency volatility. Applied Econometrics, 65, 65–76 (in Russian). DOI: 10.22394/1993‑7601‑2022‑65‑65‑76.
Simonov A., Zyamalov V. (2019). Long Run return and survival factors of ICO. HSE Economic Journal, 23 (4), 585–604. DOI: 10.17323/1813‑8691‑2019‑23‑4‑585‑604.
Fantazzini D., Nigmatullin E., Sukhanovskaya V., Ivliev S. (2016). Everything you always wanted
to know about bitcoin modelling but were afraid to ask. Part I. Applied Econometrics, 44, 5–24 (in Russian).
Fantazzini D., Nigmatullin E., Sukhanovskaya V., Ivliev S. (2017). Everything you always wanted
to know about bitcoin modelling but were afraid to ask. Part 2. Applied Econometrics, 45, 5–28 (in Russian).
Abakah E. J. A., Adeabah D., Tiwari A. K., Abdullah M. (2023). Effect of Russia-Ukraine war sentiment on blockchain and FinTech stocks. International Review of Financial Analysis, 90, 102948. DOI: 10.1016/j.irfa.2023.102948.
Aftab M., Haq I. U., Albaity M. (2023). The COVID‑19 pandemic, economic policy uncertainty and the hedging role of cryptocurrencies: A global perspective. China Finance Review International, 13 (3), 471–508. DOI: 10.1108/CFRI-06-2022-0108.
Aganin A. D., Manevich V. A., Peresetsky A. A., Pogorelova P. V. (2023). Comparison of cryptocurrency and stock market volatility forecast models. HSE Economic Journal, 27 (1), 49–77 (in Russian). DOI: 10.17323/1813-8691-2023-27-1-49-77.
Ahmed Memon B., Aslam F., Naveed H. M., Ferreira P., Ganiev O. (2024). Influence of the Russia-Ukraine war and COVID‑19 pandemic on the efficiency and herding behavior of stock markets: Evidence from G20 nations. Economies, 12 (5), 106. DOI: 10.3390/economies12050106.
Antonakakis N., Chatziantoniou I., Gabauer D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13, 84. DOI: 10.3390/jrfm13040084.
Balcilar M., Gabauer D., Umar Z. (2021). Crude oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73, 102219. DOI: 10.1016/j.resourpol.2021.102219.
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Baruník J., Křehlík T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16 (2), 271–296. DOI: 10.1093/jjfinec/nby001.
Basdekis C., Christopoulos A., Katsampoxakis I., Nastas V. (2022). The impact of the Ukrainian war on stock and energy markets: A wavelet coherence analysis. Energies, 15 (21), 8174. DOI: 10.3390/en15218174.
Billio M., Getmansky M., Lo A. W., Pelizzon L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of Financial Economics, 104 (3), 535–559. DOI: 10.1016/j.jfineco.2011.12.010.
Bossman A., Gubareva M. (2023). Asymmetric impacts of geopolitical risk on stock markets: A comparative analysis of the E7 and G7 equities during the Russian-Ukrainian conflict. Heliyon, 9 (2). DOI: 10.1016/j.heliyon.2023.e13626.
Broadstock D. C., Chatziantoniou I., Gabauer D. (2022). Minimum connectedness portfolios and the market for green bonds: Advocating socially responsible investment (SRI) activity. In: Applications in Energy Finance, 217–253. Cham: Springer International Publishing. DOI: 10.1007/978-3-030-92957-2_9.
Caferra R., Vidal-Tomás D. (2021). Who raised from the abyss? A comparison between cryptocurrency and stock market dynamics during the COVID‑19 pandemic. Finance Research Letters, 43, 101954. DOI: 10.1016/j.frl.2021.101954.
Cao G., Xie F. (2024). Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach. International Journal of Finance Economics, 29 (2), 2155–2175. DOI: 10.1002/ijfe.2781.
Chowdhury E. K., Chowdhury R., Dhar B. K. (2024). Understanding investor sentiment: Analyzing its influence on stock and cryptocurrency markets during the Russia-Ukraine war. Thunderbird International Business Review, 66 (5), 473–489. DOI: 10.1002/tie.22395.
Derindere Köseoğlu S., Mercangöz B. A., Khan K., Sarwar S. (2024). The impact of the Russian-Ukraine war on the stock market: A causal analysis. Applied Economics, 56 (21), 2509–2519. DOI: 10.1080/00036846.2023.2188168.
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Fantazzini D., Nigmatullin E., Sukhanovskaya V., Ivliev S. (2016). Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part I. Applied Econometrics, 44, 5–24 (in Russian).
Fantazzini D., Nigmatullin E., Sukhanovskaya V., Ivliev S. (2017). Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2. Applied Econometrics, 45, 5–28 (in Russian).
Forbes K. J., Rigobon R. (2002). No contagion, only interdependence: Measuring stock market comovements. Journal of Finance, 57 (5), 2223–2261. DOI: 10.1111/0022-1082.00494.
Frikha W., Brahim M., Jeribi A., Lahiani A. (2023). COVID‑19, Russia-Ukraine war and interconnectedness between stock and crypto markets: A wavelet-based analysis. Journal of Business Analytics, 6 (4), 255–275. DOI: 10.1080/2573234X.2023.2193224.
Fuentes F., Herrera R. (2020). Dynamics of connectedness in clean energy stocks. Energies, 13 (14), 3705. DOI: 10.3390/en13143705.
Ghorbel A., Loukil S., Bahloul W. (2022). Connectedness between cryptocurrencies, gold and stock markets in the presence of the COVID‑19 pandemic. European Journal of Management and Business Economics, 33 (4), 466–487. DOI: 10.1108/EJMBE-10-2021-0281.
Ha L. T. (2023a). Dynamic interlinkages between the crude oil and gold and stock during Russia-Ukraine war: Evidence from an extended TVP-VAR analysis. Environmental Science and Pollution Research, 30 (9), 23110–23123. DOI: 10.1007/s11356-022-23456-0.
Ha L. T. (2023b). Interlinkages of cryptocurrency and stock markets during COVID‑19 pandemic by applying a TVP-VAR extended joint connected approach. Journal of Economic Studies, 50 (3), 407–428. DOI: 10.1108/JES-01-2022-0055.
Hudson R., Urquhart A. (2015). War and stock markets: The effect of World War Two on the British stock market. International Review of Financial Analysis, 40, 166–177. DOI: 10.1016/j.irfa.2015.05.015.
Izzeldin M., Muradoğlu Y. G., Pappas V., Petropoulou A., Sivaprasad S. (2023). The impact of the Russian-Ukrainian war on global financial markets. International Review of Financial Analysis, 87, 102598. DOI: 10.1016/j.irfa.2023.102598.
Jana S., Sahu T. N. (2023). Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market. Journal of Financial Economic Policy, 15 (6), 551–573. DOI: 10.1108/JFEP-02-2023-0047.
Jeribi A., Jena S. K., Lahiani A. (2021). Are cryptocurrencies a backstop for the stock market in a COVID‑19-led financial crisis? Evidence from the NARDL approach. International Journal of Financial Studies, 9 (3), 33. DOI: 10.3390/ijfs9030033.
Koop G., Korobilis D. (2014). A new index of financial conditions. European Economic Review, 71, 101–116. DOI: 10.1016/j.euroecorev.2014.07.002.
Kroner K. F., Sultan J. (1993). Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis, 28 (4), 535–551. DOI: 10.2307/2331164.
Le Bris D. (2012). Wars, inflation and stock market returns in France, 1870–1945. Financial History Review, 19 (3), 337–361. DOI: 10.1017/S0968565012000170.
Le V. H., von Mettenheim H. J., Goutte S., Liu F. (2023). News-based sentiment: Can it explain market performance before and after the Russia-Ukraine conflict? The Journal of Risk Finance, 24 (1), 72–88. DOI: 10.1108/JRF-06-2022-0168.
Maitra D., Rehman M. U., Dash S. R., Kang S. H. (2022). Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID‑19 pandemic. The North American Journal of Economics and Finance, 62, 101776. DOI: 10.1016/j.najef.2022.101776.
Majumder S. B. (2022). Searching for hedging and safe haven assets for Indian equity market — a comparison between gold, cryptocurrency and commodities. Indian Growth and Development Review, 15 (1), 60–84. DOI: 10.1108/IGDR-10-2021-0131.
Manevich V. A., Peresetsky A. A., Pogorelova P. V. (2022). Stock market volatility and cryptocurrency volatility. Applied Econometrics, 65, 65–76 (in Russian). DOI: 10.22394/1993-7601-2022-65-65-76.
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