financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-6-17-33finance-3307Research ArticleАКТУАЛЬНАЯ ТЕМАACTUAL TOPICВлияние санкций на отраслевые индексыImpact of Sanctions on Industry Indiceshttps://orcid.org/0000-0002-3381-6116ФедороваЕ. А.FedorovaE. A.

Елена Анатольевна Федорова - доктор экономических наук, профессор кафедры корпоративных финансов и корпоративного управления

Москва

Elena A. Fedorova - Dr. Sci. (Econ.), Prof., Department of Corporate Finance and Corporate Governance

Moscow

EAFedorova@fa.ruhttps://orcid.org/0000-0003-3826-1305НеврединовА. Р.NevredinovA. R.

Александр Рустамович Неврединов - ассистент кафедры бизнес-информатики

Москва

Alexandr R. Nevredinov - Assistant of Department of Business Informatics

Moscow

a.r.nevredinov@gmail.comФинансовый университетРоссияFinancial UniversityRussian FederationМГТУ им. Н. Э. БауманаРоссияAlexandr R. Nevredinov — Assistant of Department of Business InformaticsRussian Federation2024040120252861733Copyright © Федорова Е.А., Неврединов А.Р., 20242024Федорова Е.А., Неврединов А.Р.Fedorova E.A., Nevredinov A.R.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/3307

Антироссийские санкции оказывают существенное влияние на деятельность российских компаний. В связи с быстрым изменением ситуации и постоянным информационным давлением инвесторам становится сложно принимать решения об инвестициях. Это обуславливает актуальность исследования, цель которого — определить влияние информации о санкциях на фондовые индексы отдельных отраслей. Эмпирическая база исследования включала в себя 67 тысяч новостей платформы «Интерфакс» за 2014–2023 гг. В качестве контрольных переменных выступали: цена фьючерса на нефть Brent, обменный курс USD-RUB и эталонная процентная ставка RUONIA. Рассмотрены индексы MOEXEU (электроэнергетика), MOEXCH (химия и нефтехимия), MOEXOG (нефть и газ). Все данные получены за период с 01.01.2014 по 31.12.2023 г. Методология исследования основана на математическом моделировании при помощи алгоритма тематического моделирования BERTopic. Выделено 4 основные тематики санкций: «антисанкционная политика и обход санкций», «санкции Запада», «санкции против компаний, отраслевая специфика», «финансовый рынок». Оценка влияния санкций на отраслевые индексы проводилась на основе применения алгоритма случайного леса и GARCH-моделирования. Доказано, что санкции меньше всего влияют на индексы тех отраслей, которые достаточно автономны в России. Инвесторы обращают внимание на отдельные тематики по санкциям, а не на общую риторику, негативная информация может привести к их нерациональному поведению. Также определен временной период максимального воздействия санкций: месяц со дня выхода информации о введении санкций. В результате сделаны выводы: 1) на приращение отраслевых индексов влияют не все новости о санкциях, а сообщения на отдельные тематики с учетом отраслевой специфики; 2) для индекса сектора химии и нефтехимии наибольшей значимостью обладает индекс антисанкционной политики; 3) энергетический сектор в меньшей степени подвержен санкциям. Результаты исследования могут быть полезны для определения направления инвестиций. 

Anti-Russian sanctions have an additional impact on Russian companies. Due to the rapid change in the situation and the development of information situations, it is becoming difficult for investors to make investment decisions. This determines the relevance of the study, the purpose of which is to determine the impact of information about sanctions on stock indices of lower industries. The empirical basis for the study of indicators includes 67 thousand news items from the Interfax platform for 2014–2023. The following were used as control measures: the price of Brent oil futures, the dollar-ruble exchange rate, and the RUONIA benchmark interest rate. The indices of MOEKEU (electric power industry), MOEKS (chemistry and oil chemistry), MOEKOG (oil and gas) are considered. All data were obtained for the period from 01.01.2014 to 31.12.2023. The research methodology is based on mathematical modeling using the BERTopic topic modeling algorithm. Four main topics of sanctions were identified: “Anti-sanctions policy and sanctions evasion”, “Western sanctions”, “Sanctions against industry-specific companies”, “Financial market”. The impact on industry indices was assessed using the random forest algorithm and GARCH analysis. It has been proven that sanctions have less impact on the indices of those industries that are sufficiently autonomous in Russia. Investors pay attention to entrepreneurial topic, and not to the sanctions rhetoric. Negative information can lead to their irrational behavior. The period of maximum impact of sanctions was also determined: a month from the date of release of information about the introduction of sanctions. As a result, the following conclusions were made: 1) when referring to industry indices, not all news about sanctions is taken into account, as are messages on the topic of manufacturers, taking into account industry specifics; 2) for the index of the chemical and petrochemical sector of the greatest initiative, which has an anti-sanction policy index; 3) the energy plumbing sector is less developed. The results of the study can be useful for determining investment directions

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The authors declare that there are no conflicts of interest present.