Влияние санкций на капитализацию отечественных компаний: отраслевой аспект

  • Елена Федорова Финансовый университет при Правительстве РФ, Москва, Россия http://orcid.org/0000-0002-3381-6116
  • Александр Неврединов Московский государственный технический университет им. Н.Э. Баумана, Москва, Россия http://orcid.org/0000-0003-3826-1305
  • Людмила Черникова Финансовый университет при Правительстве РФ, Москва, Россия http://orcid.org/0000-0003-4743-5506
Ключевые слова: фондовый рынок, санкции, санкционный индекс, текстовый анализ

Аннотация

В статье оценивается влияние санкций на экономику России с учетом отраслевого аспекта («Нефть и газ», «Телекоммуникации» и «Потребительский сектор»). Методология исследования включает эконометрическое моделирование (эластичная сеть и GARCH-моделирование) и текстовый анализ. Разработаны авторские санкционные индексы на основе текстового анализа. Проведена оценка позитивности и негативности новостей на основе словаря Эмпирическая база исследования включает новостные публикации портала lenta.ru за период с 1 января 2014 г. по 31 марта 2023 г. из тематических разделов «Экономика» и «Наука и техника». На основе GARCH-моделирования было выявлено, что санкции отрицательно влияют на капитализацию крупнейших компаний в отраслях нефти и газа, потребительского сектора и телекоммуникаций, тональность новостей влияет на капитализацию компаний. Разработаны санкционные индексы (a minimal index, an expanded index, a maximally expanded index), которые позволяют оценить уровень санкционного давления. На основе метода эластичных сетей получен вывод о приоритетности сентиментальных переменных над кон-
трольными, т.е. информация о санкциях и ее тональная окраска больше влияет на фондовый рынок, чем цена на нефть, курс рубля и межбанковская ставка в краткосрочном периоде.

Скачивания

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Опубликован
2023-06-20
Как цитировать
ФедороваЕ., НеврединовА. и ЧерниковаЛ. (2023) «Влияние санкций на капитализацию отечественных компаний: отраслевой аспект», Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438, 17(2), сс. 50-67. doi: 10.17323/j.jcfr.2073-0438.17.2.2023.50-67.
Раздел
Новые исследования