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Course Code: FIN355 Course Title: Capital market Operations

Course Instructor: Dr. Mushtaq Ahmad Shah

Academic Task No.: 3 Academic Task Title: 3

Date of Allotment: 2-04-2022 Date of submission: 18-04-2022

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Russian Share Market aftermath Ukrainian Crisis

1. Introduction

The impact of the continuing Ukrainian disaster, and the ensuing Western sanctions imposed
at the Russian Federation, at the Russian inventory marketplace. Recently, Castagneto-Gissey
and Nivorozhkin (2015) studied the results of the political and safety disaster in Ukraine at
the co-motion among the Russian fairness marketplace and a big pattern of worldwide
markets. Contrary to expectations, the effects of this look at did now no longer screen any
improved co-motion among the Russian inventory marketplace go back and returns in nations
with particularly near financial ties to Russia. In fact, the lower in returns correlation with the
Russian inventory marketplace took place instead uniformly throughout advanced, rising, and
frontier markets, irrespective of the electricity of financial hyperlinks with Russia. The
diploma of co-motion among advanced, rising, and frontier inventory markets and the
Russian inventory marketplace reduced notably in approximately eighty five% of cases, with
the lower in correlation starting from forty six to eighty three%. Such overwhelming proof,
acquired the use of more than a few superior time-collection techniques, indicated that the
Russian fairness marketplace had in large part decoupled from international fairness markets
withinside the aftermath of the Ukrainian disaster.1 In relation to the inventory marketplace,
it regarded that the political and financial sanctions imposed on Russia have been a success in
producing idiosyncratic shocks for the usa at the same time as yielding constrained
repercussions at the relaxation of the arena.

2. Literature Review

Earlier effects imply that R-squared data of the marketplace version tended to be inversely
associated with the extent of monetary improvement of the nations. Morck et al. (2000)
display that the common R-squared on the organization stage has a tendency to be better in
nations with particularly low per-capita GDP and much less-advanced monetary systems. The
authors endorse that the main reason behind the discovered phenomenon is the particularly
low range of knowledgeable buyers relative to noise buyers withinside the nations with
terrible safety of buyers’ assets rights, that can make trades primarily based totally on
organization-unique statistics much less useful. As expected, we discovered a better R-
squared in fashions of rising markets than advanced markets, probably because of “herding”
conduct of buyers, which makes them much more likely to recognition on nations instead of
man or woman shares in buying and selling activities. Jin and Myers (2006) expand the
argument of Morck et al. (2000) and assert that a few diploma of opaqueness, or loss of
transparency, on the organization stage and imperfect safety for buyers are collectively
reinforcing as, for example, one could now no longer count on best safety of buyers in an
opaque organization. As expected, the authors discover that the R-squared data have been
better in extra opaque nations.

Of course, as argued in Jin and Myers (2006), the inverse courting among monetary
improvement and R-squared isn't always reflective of company governance elements. Higher
macroeconomic chance or loss of diversification throughout industries may also provide an
explanation for the discovered styles in smaller or much less-advanced markets.

According to Hsin and Tseng (2011), inventory rate synchronicity might also additionally
range asymmetrically relying on marketplace conditions. The authors discover that rate
synchronicities have a tendency to be more potent in bearish markets and interpret this as
being regular with the speculation that buyers have improved loss aversion in endure markets,
which similarly limits knowledgeable arbitrage. The effects for the 2008 international
monetary disaster length appear to be regular with that finding. On the alternative hand, the
reduced synchronicity of the Russian marketplace at some point of the Ukrainian disaster
followed via way of means of big poor returns highlights the significance of controlling for
exogenous elements, in our case represented via way of means of the financial sanctions
imposed on Russia.

Our effects are in keeping with the proof supplied in Castagneto-Gissey and Nivorozhkin
(2015), who examine the “decoupling” of the Russian fairness marketplace withinside the
aftermath of the Ukrainian disaster on a usa-via way of means of-usa basis. Similarly to our
effects, the look at reveals a sturdy lower in interdependence among the Russian fairness
marketplace and eighty five% of principal advanced, frontier and rising markets.thirteen
Using an extended pattern length, our effects display that the correlation with the BRIC and
Emerging Markets businesses as an entire reduced notably, presenting similarly help to the
proof of exact results of Western sanctions at the Russian fairness marketplace.

The Impact of International Sanctions on Russian Financial Markets by Mirzosaid Sultonov

International sanctions became a common hallmark of international relations in the twentieth
century. The United Nations and its ally, the United Nations (UN), impose international
sanctions as ethical practices to promote the peaceful resolution of international disputes
(Doxey 1987). The effectiveness of international sanctions is assessed on their role in
achieving change in targeted national policies. Early research, similar to Galtung's (1967) and
Lindsay’s (1986), described international sanctions as tools that do not apply to international
relations, while Hufbauer et al. (1990), examining 116 sanctions between 1914 and 1990,
found that 34%sanctions worked well. Weber and Schneider (2020) consolidated and
amended existing sanctions website and list 326 punitive threats and sanctions imposed by
the EU, US, and UN the period 1989 to 2015. The US imposed 182 sanctions on 103
countries, including 119 cases. Individual and 63 cases filed by the EU or UN. The EU
imposed 81 sanctions against it60 countries, including 10 separate cases and 71 cases against
the US or USUN. The UN imposed 34 sanctions on 29 countries, including five
indictments29 cases have been filed by the US or the EU. Research findings (Weber and
Schneider 2020) reveal part the effectiveness of the sanctions imposed during 1989 to 2015,
such as Hufbauer et al. (1990), and show that EU and UN sanctions are effective compared to
those imposed by US. Jing et al. (2003) and Smeets (2018), examined related studies,
showing that despite the importance economic and social impacts, the success of international
sanctions is disputed (Smeets 2018); I the relationship between the dynamic world and the
target world, and the target countries economic and political power, are the key factors
affecting the effectiveness of the sanctions imposed (.Few studies have examined the impact
of sanctions on Russian financial markets. Dreger et al. (2015),,based on integrated vector
autoregressive (VAR) models and daily period data from 1From January 2014 to March 31,
2015, they said the ruble decline could be relate declining oil prices, while sanctions only
affect the conditional volatility of the exchange rate. Schmidbauer et al. (2016), using the
VAR model for daily profits in the six independent stock markets (US, UK, EU, Japan,
China, China, and Russia) from 3 March 1998 to 6 July 2015, they argued sanctions diminish
the value of the Russian stock market as a return shock absorber but it has increased its value
as a catalyst for volatile conditions in international financial markets. Using the
autoregressive conditional heteroscedasticity (GARCH) model in the data for for the period
between 1 January 2014 and 31 October 2014, Stone (2017) indicates that the flow
information about sanctions is associated with reduced reimbursement and increased
variability of Russian securities. Tyll et al. (2018), we use an automatically distributed and
flexible lag model small square in daily data for the period 2 January 2013 to 7 November
2016, provide statistics proven evidence that the sanctions provided a ruble exchange rate
firmly tied to oil price changes. Kolding and NetNames (2019), using structural VAR model
and quarterly data1997 Q1–2018 Q1, indicates that the actual effective exchange rate of the
ruble decreases due to the shock of the sentence. They explain the impact of sanctions on the
exchange rate because of changes in foreign trade caused by sanctions. The sanctions are in
line with a sharp drop in oil prices from global warming the market and the decline in profits
derived from the export of petrol. Therefore, studies that test sanctions ‘impact has
considered the decline in oil prices to be a major factor in the economic downturn Given
Russia's strong reliance on exports, imports 2020 economy, 4 out of 14 of consumer goods,
as well as foreign investment, researchers expect a significant oil impact inflation and
sanctions in the global economy.

Russian Stock Market Rallies After Being Closed for a Month

By Caitlin Ostroff And Caitlin McCabe from Wall Street journal

Individual investors have historically built the Russian stock market, holding about 7% of the
Russian stock market actively trading shares, according to Sberbank Investment Research. To
prevent strong trading, Russia's central bank closed short-term trading, in which investors bet
that stock prices would fall, and barred outsiders, who formed a large part of the market, from
selling their shares.
 The Russian stock market jumped into its first, limited trading session since the West
revealed sanctions about a month ago, but the meeting was overshadowed by government
measures to prevent foreign investors from selling shares.
"Russia has made it clear that it will use government resources to extract shares in trading
companies," Daleep Singh, the White House deputy national security adviser, said in a
statement.
Before the war, foreigners owned about three quarters of Russia's free-selling stock, known
as the free float, and were responsible for half the daily trading volume.
"I have a hard time imagining a situation where anyone from Western countries returns to the
Russian stock market," said Christian Kopf, a fund manager at Union Investment.
"We do not know what the market is at all," said Charlie Robertson, an international
economist at Renaissance Capital, an investment bank in emerging

3. Ukrainian Disaster and Crisis Impact on Russian Market

The Ukrainian disaster and the Russian inventory marketplace
From the attitude of Russia's involvement in Ukrainian affairs and its impact at the Russian
economic system and capital markets, the Ukrainian disaster may be traced again to at least
one March 2014, whilst the Russian Parliament authorised President Putin's request to apply
militia in Ukraine to guard Russian interests. Shortly afterwards, Crimea's secession
referendum on becoming a member of Russia, broadly regarded as illegitimate, became
carried out on sixteen March and, on 18 March, a invoice to soak up Crimea into the Russian
Federation became signed. Since then, the financial improvement of the Russian Federation
became closely laid low with the effects of the political and safety disaster in Ukraine.
Already in March 2014, the Ukrainian disaster caused some of governments to use sanctions
in opposition to people, groups and officers from Russia, accompanied via way of means of
numerous rounds of ever tighter sanctions authorised via way of means of the United States,
the European Union in addition to different nations and worldwide groups. In addition to
diplomatic actions, the measures blanketed tour bans and asset freezes in opposition to
Russian officers, along with a vast set of measures concentrated on sectoral cooperation and
exchanges with Russia, in addition to extra measures regarding fashionable financial
cooperation. In particular, Russian country banks have been excluded from elevating lengthy-
time period loans, bans have been carried out on fingers deals, exports of dual-use system for
navy use, and an EU-US ban focused exports of a few oil enterprise era and services, to call a
few.

Unsurprisingly, the beneathneath-different and enormously focused nature of the Russian

economic system, characterised via way of means of pervasive country control, caused a
devastating impact of sanctions past the focused sectors. The impact of the sanctions at the
Russian economic system became exacerbated via way of means of reciprocal sanctions and
embargos, which the Russian authorities imposed on maximum of the rural merchandise
whose usa of foundation had both “followed the choice on advent of financial sanctions in
appreciate of Russian criminal and (or) bodily entities, or joined equal.”five
The sanctions in opposition to Russian people, agencies and officers who've been
instrumental withinside the Russian danger to Ukraine's sovereignty may be subdivided into
3 rounds. The first spherical of sanctions became imposed in March-April 2014, the second
one spherical started out on 28 April 2014, at the same time as the 1/3 spherical of sanctions
dates from July 2014 to the prevailing day.

The sanctions imposed on Russia and the listing of nations becoming a member of the
sanctions stored on growing in every spherical. International groups, including the European
Bank for Reconstruction and Development (EBRD), iced over all new initiatives in Russia,
with some of nations becoming a member of this policy. Russia's monetary, electricity and
protection sectors have been subjected to an increasing number of harder worldwide
sanctions and a big range of Russian agencies have become constrained of their capacity to
get right of entry to worldwide debt markets and in era cooperation. By sixteen February
2015, the sanction listing of the EU protected 151 people and 37 entities.

When it involves the Russian inventory marketplace, the MSCI Russia Index had already
been down via way of means of nearly 30% at the start of 2014, whilst the primary spherical
of sanctions became added and in fact recovered a number of the losses withinside the length
till the start of November 2014 (see Fig. 1). The poor month-to-month returns of 2.five% in
March and 6.6% in April have been accompanied via way of means of high quality returns of
eleven.five% in May, and five.four% in June earlier than turning poor for the relaxation of
the yr.6 This may be interpreted as both proof of constrained impact of sanctions at the
Russian inventory marketplace or the buyers efficaciously looking ahead to the effects of the
Ukrainian disaster, consequently the impact of sanctions previous to March 2014. The
improved decline in oil charges and depreciation of trade prices in opposition to the ruble,
which commenced in July 2014 collectively with the 1/3 wave of sanctions added in July,
therefore caused progressively poor month-to-month returns of eight.eight% in July, 1.five%
in August, 6% in September, 2% in October, and eleven.four% in November. Nevertheless,
the MSCI Russia index remained efficaciously flat via way of means of past due November
2014 relative to the start of March, revealing over again a loss of any profound impact of
sanctions in phrases of valuation. In the following length, the inventory marketplace fall
reached dramatic proportions, returning poor 80% in mid-December from the begin of the yr
and completing the yr 62% down.

4. Analysis on Russian Stockmarket aftermath ukrainian Crisis

Sources: Thomson Reuters Datastream; Authors’ calculations.

The diploma of synchronization of the Russian inventory marketplace with the relaxation of
the arena exhibits a dramatic decline withinside the stage of co-motion among the MSCI
Russia Index and the MSCI AC World, the MSCI Emerging Markets, or even the MSCI
BRIC indices, in view that the start of the Ukrainian disaster. The common month-to-month
R2 of the MSCI Russia and the MSCI AC World indices each day returns declined via way
of means of nearly 50% from the height of 39% in February 2014 to the throw of 19% in
December 2014. The common month-to-month R2 remained withinside the variety of 19–
22% in view that July 2014 till the stop of the pattern length.
The falls withinside the stages of synchronicity of the Russian marketplace with the MSCI
Emerging Markets and the MSCI BRIC have been additionally very giant. The common
month-to-month R2 of the MSCI Russia and the MSCI Emerging Markets greenback returns
declined via way of means of 40% from the height of 50% in January and February 2009 to
the throw of 30% in December, last withinside the variety of 30–36% till the stop of the
pattern length.

The common month-to-month R2 of the MSCI Russia and the MSCI BRIC greenback returns
declined via way of means of over 40% from the height of 47% in January and February
2009 to the throw of 28% in December, last withinside the variety of 28–34% till the stop of
the pattern length.

The decline in all the R2 data withinside the disaster length is strongly statistically giant
relative to the suggest fee in 2013. The decline became additionally giant withinside the
length earlier than July 2014, whilst the oil rate started out declining and the Russian
macroeconomic signs started out deteriorating.

The low stage of synchronicity of the Russian inventory marketplace with the relaxation of
the arena is hanging and had now no longer been discovered for an prolonged length of time.
The R2 of the greenback returns of the MSCI Russia and the MSCI AC World has now no
longer been beneathneath 40% in view that 2008. The R2 of the greenback returns of the
MSCI Russia and the MSCI EM and the MSCI BRIC has now no longer been beneathneath
40% in view that 2006, this is earlier than Yukos's bankruptcy.

Importantly, however, the decline in synchronicity of the MSCI Russia started out lengthy
previous to the Ukrainian disaster. For example, the R2 with MSCI AC World became on a
declining fashion in view that December 2011 whilst it reached its most fee of sixty six%.

Overall, it seems that, despite the fact that the Ukrainian disaster can't be dominated out as a
contributing component affecting the synchronicity of the Russian inventory marketplace,
there are virtually different elements at play.

5. Russian-Ukraine Crisis 2022

Russia attacked Ukraine on 24 February for the sake of eliminating so called neo-Nazis (as
per their perspective). This event caused loss and damage to millions of dollars of property
and numerous lives in Ukraine, but when we see the other side of the coin at the same time
Russia is also being affected, not by bombs, guns or manpower but through money.
Post invasion after several warnings from NATO and other Asian countries Russia hasn’t
stopped the attack. As a result, 20 powerful countries around the world declared economic
sanctions on Russia one of them resulting disbanding whole foreign reserve of dollar in
Russia which was reportedly a huge whooping amount of $ 643.2 billion.

6. Impact of 2022 crisis on Russian Market

The US, UK and EU have put in place unprecedented financial penalties on Russia over its
invasion of Ukraine, and hundreds of international companies have pulled out of the country.

The impact of these measures is just starting to be felt, with the cost of basic products rising,
a looming risk of job losses, and for some, an increasing sense of been changing. All names
have been changed, and currency conversions were correct at time of publication.

Cooking oil, sugar and blood pressure medication

Consumer prices jumped 2.2% in the first week of the invasion, with food among the biggest
rises • Some shops are restricting the sale of staples, after reports of hoarding • Sales of
medicines are not subject to sanctions, but with major shipping companies suspending
services, supplies could be hit.

Sugar and cereal prices were already about 20% higher this February than a year ago. Russian
state news agency Tass said some retailers had agreed to limit price rises on some staples to
5%. Others are restricting the amount of basics like flour, sugar and oil that customers can
buy.

Daria has been stocking up. "We bought 4kg of coffee, 4 litres of sunflower oil, 4 litres of
olive oil and four bottles of whisky." She has also ordered a three-month supply of
medication for her high blood pressure - she says some drugs are already harder to get hold
of.

Last iPhones, and a last chance at 'foreign bliss'

The price of some consumer goods has drastically increased • The cost of smartphones and
televisions has increased by more than 10% and an average vacation to Turkey has increased
by 29% • Major brands like Apple, Ikea and Nike no longer sell their products in Russia

Daria had been considering buying new laptops for her family, and rushed ahead with the
purchase as she saw prices steadily increase. "At the beginning of February they cost about
70,000 roubles [$730; £560] but by the end of the month they had gone up to 100,000
roubles, which is what we paid. They then went up to 140,000 before they all sold out in
Moscow."

New cars have also gone up in price. "We bought filters and oil for the car for when it needs a
service," Daria says. "We managed to buy them at the old prices before they almost doubled
before our eyes."

The symbolism of McDonald's closing its 847 restaurants has not been lost on Russians - it
was among the first Western firms to open in the Soviet Union 30 years ago. Within hours of
the announcement, thousands of adverts appeared from Russians reselling food from its
restaurants, at up to 10 times the usual price. "Nuggets and pies bought just before the
restaurant chain closed down. Your last chance to taste foreign bliss," said one message."

Losing customers and maybe online services

Russian banks removed from Swift international payment system • Visa, Mastercard,
American Express, Apple and Google Pay limit their services in Russia • Russian central
bank says economy could shrink by up to 8%.

Media closures and Cold War memories

New law threatens to jail anyone deemed to have spread "fake" news on the invasion •
Independent and international media subject of severe restrictions • More than 13,000 people
arrested in anti-war protests

People holds President Putin responsible for the sanctions, but most Russians get their news
from state-run media, which carries the Kremlin's anti-Ukraine propaganda. Many people
support him and may end up blaming the West for sanctions.

Others don't approve of the war, but stay silent - it's risky for Russians to criticise their leader.
Western governments hope the sanctions being piled on Russians will hurt enough to bring
change at the top, but that could take time.

7. Conclusion
Russian inventory marketplace and a consultant pattern of worldwide markets withinside the
aftermath of the 2014 Ukrainian disaster. By making use of dynamic goodness-of-in shape
and bootstrapped regression approaches, we display that the affect of the arena inventory
markets at the Russian inventory marketplace drastically reduced withinside the aftermath of
the Ukrainian disaster. The lower in co-motion of Russian fairness marketplace returns
withinside the significance of 30–50% is discovered now no longer best with appreciate to
international fairness returns, however additionally with appreciate to rising and BRIC
markets, which belong to the equal “rising markets” asset magnificence because the Russian
marketplace. In view of dramatic boom in synchronicity throughout the Russian sectoral
inventory indices after the sanctions have been added, our effects are regular with the impact
of financial sanctions imposed on Russia, that have reputedly remoted the Russian fairness
marketplace from the relaxation of the arena and precipitated considerable portfolio outflows
from the marketplace, or a “flight-to-quality” phenomenon often discovered at some point of
rising markets crises.

Our effects are in keeping with the proof supplied in Castagneto-Gissey and Nivorozhkin
(2015), who examine the “decoupling” of the Russian fairness marketplace withinside the
aftermath of the Ukrainian disaster on a usa-via way of means of-usa basis. Similarly to our
effects, the look at reveals a sturdy lower in interdependence among the Russian fairness
marketplace and eighty five% of principal advanced, frontier and rising markets.thirteen
Using an extended pattern length, our effects display that the correlation with the BRIC and
Emerging Markets businesses as an entire reduced notably, presenting similarly help to the
proof of exact results of Western sanctions at the Russian fairness marketplace.

Our effects additionally screen a sturdy high quality correlation among the cumulative go
back of the Russian fairness index and the synchronicity of the Russian marketplace with the
World Index. The synchronicity of the MSCI Russia is likewise negatively correlated with
the extent of the idiosyncratic chance derived from the marketplace version. Our effects
additionally appear to signify a giant version withinside the diploma of the Russian inventory
marketplace's integration with the relaxation of the arena, because the contemporary
decoupling of the Russian marketplace have been related to the arrival of tendencies much
like the ones discovered withinside the “pre-integration” length withinside the early a part of
the preceding decade. This proof is regular with literature at the implications of partial
segmentation, helping the stylized statistics that marketplace segmentation notably impacts
valuation of equities and that the top rate of stocks to be had to overseas buyers is time-
various.

While nevertheless being seemed as a chief rising marketplace, the Russian inventory
marketplace's declining capitalization and loose-drift caused a dramatic fall in Russia's
weight in investable fairness indices, including the MSCI Emerging Markets Index. For
example, the load of Russian shares in iShares MSCI Emerging Markets ETF,14 which tracks
the MSCI Emerging Markets Index, dropped to three.76%, lagging at the back of markets
including Mexico, South Africa, and Brazil. Albeit the appealing valuations withinside the
Russian fairness marketplace, the selection of to be had investments stays constrained
because of the financial sanctions imposed at the usa. As a result, the lower in co-motion of
the Russian inventory marketplace with the relaxation of the arena is not going to offer
worldwide buyers with advanced diversification opportunities. On the alternative hand, the
lifting of sanctions is probably to bring about a big portfolio investments influx toward
Russia.

As it's far difficult to forecast whilst the sanctions could be lifted, the returns of the Russian
marketplace withinside the medium-time period ought to stay predominately pushed via way
of means of idiosyncratic information and the powerful decoupling of the Russian
marketplace from the relaxation of the arena is probably to persist.

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