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The System of the Crisis Phenomena Indicators in the Russian Stock Market: Dynamics and Anticipating Properties

Author: Natalia B. Boldyreva, Dr.Sc. (Ec.), Assistant-Prof., Prof. of Finance, Money Circulation & Credit Dept; Aleksandr A. Parfenov, postgraduate of Finance, Money Circulation & Credit Dept.

Abstract: The article covers the main problems of building the system of the crisis phenomena indicators in the Russian stock market. The principles of building this system allowing for the specifics of modern crises and shortcomings of conventional system of indicators are developed. The paper justifies the choice of indicators in stock market: zero-coupon yield curve of the Russian government bonds, P/E and P/BV. It presents the calculated interval estimates of the crisis levels of indicators. Finally, availability of anticipating properties of the suggested system of indicators for alternative dating of the stock market and economic crisis in 2008−2009 is proved.

Key words: economic crisis; stock market crisis; system of indicators; zero-coupon yield curve; P/E; P/BV; capitalization; volatility; Russian stock market; monitoring.