Abstract

The article explores behavior features of different group of private investors on the Moscow and Saint Petersburg stock exchanges. It was found that the change in the size of the biggest group of registered broker clients on Moscow Exchange depended heavily on growth of real income and key characteristics of passive forms of income, such as deposit rates, government bond returns and stock dividend yield. Active broker clients on the Moscow stock exchange mainly focused on more speculative factors, such as equity premium, equity volatility, foreign stocks’ returns and exchange rate. The growth of individual investment accounts depended on factors of both active and speculative forms of income. The quantity of broker clients on Saint-Petersburg Exchange relied on an even wider set of factors, which included not only risk and returns on national markets, but also characteristics of foreign assets and exchange rates. The two Russian exchanges are interrelated. The bond and equity premium growth makes the national market more attractive than foreign assets. The expansion of private investors on the stock market in Russia, which began in 2018, is explained not only by a search for other investment instruments apart from deposits, especially under the ongoing decline in interest rates, but also by a growing interest in individual investment accounts. The latter represent a positive example of state influence on people’s savings through tax policy. Another factor of the raise of private investments was the implementation of modern investment platforms and active promotion of broker services by major banks. The financial crisis which begun in March 2020 can become a serious challenge for millions of private investors who had opened accounts in the previous two years.

Keywords: Russian stock market, private investor, broker clients, savings behavior, Moscow Exchange, Saint-Petersburg Exchange, individual investment accounts, nudge theory.

JEL: G21, G23, G24, G41, G50.

Alexander E. Abramov, Cand. Sci. (Econ.). Russian Presidential Academy of National Economy and Public Administration (82, Vernadskogo pr., Moscow, 119571, Russian Federation).

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Alexander D. Radygin, Dr. Sci. (Econ.), Professor. Russian Presidential Academy of National Economy and Public Administration (82, Vernadskogo pr., Moscow, 119571, Russian Federation); Gaidar Institute for Economic

Policy (3–5, Gazetnуy per., Moscow, 125009, Russian Federation).

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Maria I. Chernova. Russian Presidential Academy of National Economy and Public Administration (82, Vernadskogo pr., Moscow, 119571, Russian Federation).

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Abstract

The paper presents an adaptation of modern behavioral economic theory to portfolio investment in the Russian stock market. The author analyzes the possibility of optimizing the investment portfolio for a private investor using portfolio correction based on changes in monetary policy indicators available in media sources. The behavioral model of portfolio selection is used, based on the value of shares on Moscow Exchange and taking into account a reference point in the theory of prospects in the form of indicators regulated by the Bank of Russia. The key rate and the standard of required reserves, inflation, the average rate on bank deposits, and the exchange rate of the US dollar to the ruble are used as monetary policy indicators. The behavioral model is a modified theory of average variance, in which the calculation of profitability and risk is carried out according to the main behavioral theories, namely the cumulative prospect and mental accounting theory. The author considers various options for forming a portfolio in accordance with the level of risk aversion. As a result of comparing the models of optimization of the average variance portfolio and the models based on the modified theory of average variance using behavioral factors, higher risk-return ratios of the modified models were revealed in the forecast period, while for the analyzed period all models were located on the line of Markowitz efficient portfolio. As a further development of the portfolio behavioral theory, the possibilities of adapting the model are proposed not only depending on the points of reference, but also depending on changes in risk acceptance coefficients and probability estimates.

Keywords: cumulative prospect theory, behavioral finance, modern portfolio theory.

JEL: G02, G11, E52.

Nikita M. Redkin. Institute of Finance and Economics, University of Tyumen (6, Volodarskogo ul., Tyumen, 625003, Russian Federation).

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Abstract

We studied the specific properties of the cryptocurrency market. Guided by the concept of implied volatility, we investigated the asymmetric reaction of the market to news. Based on the concept of realized volatility, we verified the hypothesis of herding behavior in the market. To test the properties of the market, we used a combination of methods, starting from the analysis of statistics of search queries, interpreted as proxies of information demand from professional market participants and the “wide crowd”, and ending with advanced Markov-Switching GARCH models and heterogeneous autoregressive models of realized volatility (HAR-RV-J-models). As a result, we found various types of asymmetric reactions of the cryptocurrency market to news related to both the general direction of its dynamics (growth or decrease) and the amplitude of return fluctuations (high or low volatility). During the upward price rally and overheating of the market, investors deliberately avoided the bad news; thereby the asymmetry in the cryptocurrency market was inverse (to the adopted leverage effect). On the contrary, during the downward price rally, market participants exhibited an overreaction to bad news. In addition, the asymmetric reaction to the news observed during the period of low market volatility actually disappeared when the amplitude of cryptocurrency return volatility increased. The behavior of short-term investors was also varied in the study period. While during the growth of the market, small speculators were more likely to follow their own trading strategies, during the hype they borrowed the trading practices of the largest players. We also revealed the effect of training among small investors: over time, they became less prone to provocations from large players, which did not allow the 2019 rally to surpass its counterpart in 2017 in terms of both return oscillations and duration.

Keywords: cryptocurrencies, market (in)efficiency, overreaction to news, asymmetry effect, herding behavior, learning effect.

JEL: G02, G14

Marina Yu. Malkina, Dr. Sci. (Econ.). Lobachevsky State University of Nizhni Novgorod (7, Universitetskiy per., Nizhny Novgorod, 603000, Russian Federation).

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Vyacheslav N. Ovchinnikov. Financial Research Institute of the Ministry of Finance of the Russian Federation (3, Nastas’inskiy per., Moscow, 127006, Russian Federation), Lobachevsky State University of Nizhni Novgorod (7, Universitetskiy per., Nizhny Novgorod, 603000, Russian Federation).

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Abstract

This paper studies bank defaults in the Russian Federation in recent years. Firstly, the Central Bank of Russia tightened prudential regulation in 2013. Secondly, a decrease in oil prices and economic sanctions resulted in a crisis in 2014–2015 with a huge depreciation of the national currency, which influenced the Russian banking sector substantially. Almost half of banks in Russia have been closed in the last 6 years. Through binary logistic models of bank defaults based on data for Q3 2013 through Q1 2019, the paper reveals the key factors which had an influence on the sustainability of Russian banks. The main result is that involvement in classical banking exposes banks to default risks. Excessive reserves appeared to be an important indicator of default as well. A special measure of liquidity creation was constructed. We found that high levels of liquidity creation increased the probability of bank failure. It is also worth mentioning that excessive liquidity creation put higher risks on a given bank in the crisis period. We can conclude that regulatory authorities should pay attention to high liquidity creators, especially

in the group of small and medium-sized banks. We also found some evidence of an improvement in prudential regulation by the Bank of Russia. Separate models were estimated for the sample of 150 larger banks, which is more homogeneous and is of primary interest for the regulator. A number of variables, including the level of liquidity creation, turned out to be insignificant; however, high reserve values for possible losses still increase the probability of default to a large extent. Logistic panel regressions were also considered as an alternative specification.

Keywords: bank default, logistic regression, Central Bank.

JEL: C35, C51, E58, G21, G28, G33.

Andrey V. Zubarev, Cand. Sci. (Econ.). Russian Presidential Academy of National Economy and Public Administration (82, Vernadskogo pr., Moscow, 119571, Russian Federation).

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Olga A. Bekirova. Russian Presidential Academy of National Economy and Public Administration (82, Vernadskogo pr., Moscow, 119571, Russian Federation).

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Abstract

The overall tax avoidance perspective suggests that managers who seek opportunities to avoid paying taxes are pursuing financial abuse by creating a lack of transparency in the financial reporting environment. It seems that many companies are involved in tax avoidance. For this reason, it is crucial to determine the factors influencing the rate of tax avoidance. In this study, it is assumed that, in weak information environments, there is much incentive to avoid paying taxes. Thus, in this research, the effect of financial information comparability on aggressive tax avoidance with respect to the information environment has been investigated. To this end, 88 companies were examined during the period from 2011 to 2016. The required financial information was extracted by referring to the financial statements using Rahavard Novin software; summarized, classified and calculated in Excel software; and finally, analyzed through EViews software. By using the combined data and taking advantage of the generalized least squares regression test, it was established that the impact of financial statement comparability on aggressive tax avoidance in companies with a weaker information environment was more significant at a 90% confidence level. On the other hand, in a situation where there is a weak information environment, the ability to compare financial statements plays a significant role in reducing tax avoidance. Thus, it can reduce companies’ involvement in avoiding daring taxes, especially in a weak information environment. Furthermore, no reliable evidence was found concerning the effectiveness of financial information comparability in aggressive tax avoidance at a 95% confidence level.

Keywords: financial information comparability, information environment, financial reporting, tax avoidance.

JEL: G14, G38, H26.

Zahra Farhadi — PhD (Accounting). Assistant Professor, Faculty of Humanity Sciences, University of Bojnord (4th km Road to Esfarayen, Bojnord, North Khorasan, 9453155111, Iran).

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Abstract

Cross-border data flows management and privacy protection are placed high in the international digital agenda due to unprecedented growth in the volume and pace of data collection, processing, storage and transfer globally. Despite the high importance of data flows regulation and its serious influence on all enterprises involved in digital economy, there is little research conducted in Russia and systemizing the national strategies in this sphere of regulation. The article provides an overview of the existing approaches of different countries to data protection, transfer (cross-border included) and storage, analyses the impact of regulation on international trade flows, and develops proposals for possible measures to reduce costs for companies in the digital age. The research discovers that today most countries of the world regulate personal data and other categories of sensitive data flows through the introduction of either a separate law or data protection provisions in the relevant sectoral laws. The countries’ approaches range from a complete ban on the cross-border transfer of all or certain categories of data to foreign countries to complete liberalization in this area. The most common approach is the introduction of one or several restrictions from the set of measures related to cross-border data transfers: data localization requirement; limitations on the number or type of countries to which sensitive data can be transferred without additional requirements; and the requirement of the personal data subject’s consent or responsible public authorities’ permission.

Keywords: personal data, sensitive data, data protection, cross-border data flows, data localization, e-commerce.

JEL: F02, K24.

Olga D. Ismagilova. Institute for International Economics and Finance, Russian Foreign Trade Academy (4A, Pudovkina ul., Moscow, 119285, Russian Federation); Russian APEC Study Center, Russian Presidential Academy of National Economy and Public Administration (11, Prechistenskaya nab., Moscow, 119034, Russian Federation).

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Karine R. Khadzhi. Institute for International Economics and Finance, Russian Foreign Trade Academy (4A, Pudovkina ul., Moscow, 119285, Russian Federation); Russian APEC Study Center, Russian Presidential Academy of National Economy and Public Administration (11, Prechistenskaya nab., Moscow, 119034, Russian Federation).

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Abstract

The paper presents the results of a study of changes in the salary schemes and working conditions of medical staff, their labor motivation and the compliance of these changes with the objectives of the so-called “effective”, performance-based, contract being introduced. The data from a set of surveys of employees at public medical facilities in 2009–2018 served as the empirical base of the study. It is shown that the introduction of the effective contract had changed the role of factors determining the salary of medical workers. Whereas earlier qualification had been the leading factor, afterwards it was the volume and quality of the work performed as well as the outcomes of a given medical institution or unit. Most doctors had increased the amount of work they do, and the secondary employment of medical staff had slightly been reduced. Survey data indicate quite a stable hierarchy of labor motives among medical workers, the leading ones being earning money, professional interest in work, and altruism. In 2018, the role of the guaranteed employment motive was elevated. Among the positive changes are an increase in the satisfaction of medical workers with the salary, conditions for advanced training, and rules of remuneration. The identified outcomes are generally consistent with the objectives of introducing the effective contract, and they allow one to argue that the new salary scheme has had a positive impact on the labor motivation of medical staff. However, the conclusion of an effective contract was noted by only half of respondents. For the rest, it all boiled down to an increase in salary. These results indicate serious failures in the administration of this reform.

Keywords: effective contract, salary scheme, labor motivation, medical workers, health care.

JEL: I18, J38.

Sergey V. Shishkin, Dr. Sci. (Econ.). Centre for Health Policy, National

Research University Higher School of Economics (20, Myasnitskaya ul., Moscow, 101000, Russian Federation).

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Aleksandr L. Temnitsky, Сand. Sci. (Sociol.). Moscow State Institute of International Relations (76, Vernadskogo pr., Moscow, 119454, Russian Federation).

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