Impact of Sanctions on Russian Stock Market

Student: Zaytsev Anton

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Year of Graduation: 2019

The purpose of this paper is to study the impact of western economic sanctions on the Russia’s stock market. Using GARCH and half-life volatility shock models, we identified that almost all sectoral stock indices are characterized by strong mean reversion behavior. A comparison of the speed of mean reversion before and after sanctions revealed positive dynamics, which implies that no long-lasting return volatility shocks happened on the stock market in general since the imposition of sanctions. However, the effect is negative on several individual sectors of the economy, which are indeed supposed to suffer from sanctions more relatively to other sectors. Thereby, partial effectiveness of sanctions is confirmed. Our results are consistent with previous studies on the impact of sanctions on the Russia’s economy.

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