MAPPING THE STOCKS IN MICEX: Who is central in Moscow Stock Exchange?

In this article we use partial correlations to derive a bidirectional map of connections between the major firms listed in MICEX and sectors of Russian economy. We obtain the coefficients of partial correlation from the correlation estimates of constant conditional correlation GARCH (CCC-GARCH) and consistent dynamic conditional correlation GARCH (cDCC-GARCH) models. We apply network analysis to identify the most central firms and sectors in terms of shock propagation. Our findings suggest that interconnectedness between firms as well as between sectors strengthen during the crisis. Moreover there are strong interconnections within some sectors such as Oil & Gas and Power sectors.

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