Impact of Crisis Coverage on the Financial Market of Russia

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...

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Main Authors: E. A. Fedorova, S. O. Musienko, F. Yu. Fedorov, l. V. Vinogradova
Format: Article
Language:Russian
Published: Government of the Russian Federation, Financial University 2019-06-01
Series:Финансы: теория и практика
Subjects:
Online Access:https://financetp.fa.ru/jour/article/view/861
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author E. A. Fedorova
S. O. Musienko
F. Yu. Fedorov
l. V. Vinogradova
author_facet E. A. Fedorova
S. O. Musienko
F. Yu. Fedorov
l. V. Vinogradova
author_sort E. A. Fedorova
collection DOAJ
description 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.
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record_format Article
series Финансы: теория и практика
spelling doaj-art-ae9e02f30da8457e8b3383ceba3b6fb92025-08-04T13:11:07ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892019-06-0123311212110.26794/2587-5671-2019-23-3-112-121725Impact of Crisis Coverage on the Financial Market of RussiaE. A. Fedorova0S. O. Musienko1F. Yu. Fedorov2l. V. Vinogradova3Financial University, MoscowFinancial University, MoscowOOO RedSys, MoscowPskov State University, PskovThe 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.https://financetp.fa.ru/jour/article/view/861text analysiscrisiscrisis indexfinancial marketstock index
spellingShingle E. A. Fedorova
S. O. Musienko
F. Yu. Fedorov
l. V. Vinogradova
Impact of Crisis Coverage on the Financial Market of Russia
Финансы: теория и практика
text analysis
crisis
crisis index
financial market
stock index
title Impact of Crisis Coverage on the Financial Market of Russia
title_full Impact of Crisis Coverage on the Financial Market of Russia
title_fullStr Impact of Crisis Coverage on the Financial Market of Russia
title_full_unstemmed Impact of Crisis Coverage on the Financial Market of Russia
title_short Impact of Crisis Coverage on the Financial Market of Russia
title_sort impact of crisis coverage on the financial market of russia
topic text analysis
crisis
crisis index
financial market
stock index
url https://financetp.fa.ru/jour/article/view/861
work_keys_str_mv AT eafedorova impactofcrisiscoverageonthefinancialmarketofrussia
AT somusienko impactofcrisiscoverageonthefinancialmarketofrussia
AT fyufedorov impactofcrisiscoverageonthefinancialmarketofrussia
AT lvvinogradova impactofcrisiscoverageonthefinancialmarketofrussia