Impact of Crisis Coverage on the Financial Market of Russia
https://doi.org/10.26794/2587-5671-2019-23-3-112-121
Abstract
The article examines the impact of informational messages characterizing the crisis in the economy on the financial market indicators. The aim of the article is to build an index that allows assessing the crisis situation in the country based on textual analysis of informational messages. Due to the literature review, the factors determining the crisis in the economy were identified. The empirical base of the study included more than 10 million news texts from various sources accredited by Thomson Reuters. For the first time, the authors compiled a “bag of words” (dictionary) to determine the crisis situation in the country; and by means of the text analysis, they developed the author’s crisis index calculated on the basis of news reports in foreign media about Russia. They conducted the analysis of the relations between the crisis index and the stock index MOEX. According to the results of the study, it has been established that an increase in the number of news reports determining the crisis situation in the economy has a negative effect on the financial market: it leads to a drop in stock prices. Thus, not only objective economic factors, but also the information component influencing the mood of investors and the behavior of economic entities, affects the key indicators of the financial market. The proposed author’s crisis index can also be used to assess other relations, for example, the effect of the crisis on the exchange rate.
Supporting agencies: The article is based on the results of budgetary-supported research according to the state task carried out by the Financial University in 2018.
About the Authors
E. A. Fedorova
Financial University, Moscow
Russian Federation
Russian Federation
Elena A. Fedorova — Dr. Sci. (Econ.), Professor, Department of corporate finance and corporate governance
S. O. Musienko
Financial University, Moscow
Russian Federation
Russian Federation
Svetlana O. Musienko — Assistant, Department of corporate finance and corporate governance
F. Yu. Fedorov
OOO RedSys, Moscow
Russian Federation
Fedor Yu. Fedorov — Consultant
Russian Federation
Fedor Yu. Fedorov — Consultant
l. V. Vinogradova
Pskov State University, Pskov
Russian Federation
Russian Federation
Lyudmila V. Vinogradova — Cand. Sci. (Philol.), Associate Professor, Department of English Language
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Review
For citations:
Fedorova E.A., Musienko S.O., Fedorov F.Yu., Vinogradova l.V. Impact of Crisis Coverage on the Financial Market of Russia. Finance: Theory and Practice. 2019;23(3):112-121. https://doi.org/10.26794/2587-5671-2019-23-3-112-121
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