We open a new season of estimates of the volatility of the domestic stock market with an analysis of the volatility of securities from the MOSBIRZHI index for January 2021.
Dynamic assessment of volatility allows you to identify trends in the risk parameters of the instruments.You can also find out more information from deltamarket, which has proven itself with good reviews.
Analysis of the volatility of the exchange value of shares can be useful for speculative bidders who make frequent short-term transactions, hoping to increase their profitability.
The results of the risk analysis of securities may also be useful for conservative investors in order to avoid buying instruments with increased uncertainty of price dynamics in the short term.
As a risk measure, we use the standard deviation of the returns of instruments, or the "sigma" coefficient (), normalized by the number of observation periods. In our case — a shortened holiday in January, or 19 trading days.
In the first half of January, the world stock markets
Including the Russian one, rewritten the absolute historical highs. The exhaustion of local positivity and increased uncertainty led, on the one hand, to the preservation of increased trading volatility, and, on the other, to the development of market — wide corrective sentiment. By the end of the month, the MOSBIRZHI index fell back by 7% from its peak levels, losing all the gains of recent weeks.
The tendency of the monthly volatility of stocks remains.
Once again, the permanent participant of the variability rating — TCS Group-is in the arena. Explosive volatility brought the securities to the market leaders (the sigma TCS coefficient is 5 times higher than the risk parameters of the Mosbirzhi index), while the yield did not fail.
The increase in the exchange rate for January is 25%. At the highs of the month, the securities stormed the bar of 50% against the background of changes in the structure of equity capital and expectations of the inclusion of shares in the MSCI indices.
The vertical rise in stock prices led to the exhaustion of local demand, and there were risks of a deep pullback. The analysis of the marginal risk of falling shares was carried out promptly and is presented in a separate article. So far, the probabilistic estimates are fully justified: the failure did not exceed the limit.
HeadHunter and Ozon shares retained their positions in the list of securities with increased exchange volatility. Securities only 2 months ago entered the base of the calculation of the MOSBIRZHI index, so it is too early to statistically judge the stability of trends. Nevertheless, relatively low liquidity will continue to maintain high exchange rate volatility in these instruments for a long time.
Petropavlovsk and QIWI securities fell out of the cage of high volatility relative to the previous period. The factor of falling investor interest against the background of stagnation of gold prices and risk avoidance in the securities of the payment service due to the restrictions of the Central Bank affected.
The securities of MMC Norilsk Nickel and NOVATEK are rare guests of the high volatility rating. So, at the end of the month, the stock price did not change, but within the period there was increased volatility, and the risk of the instrument is 2 times higher than the risk metrics of the MOSBIRZHI index itself.
The reasons for the jump in the volatility of issuers ' shares lie in the sharp rise in base metals and gas prices to multi-year highs. You can learn about the pricing features of the international natural gas market in a special training material.
In February, there is a high probability that the increased volatility of the stock market will continue, which provides an increase in opportunities for speculators. On the one hand, the current levels of risk instruments for the most part already contain positive drivers of economic recovery and the passage of the acute phase of the pandemic, which causes the activity of players to decline.
On the other hand, the constant expansion of fiscal stimulus by global governments will fuel equity markets, causing spikes in securities purchases.
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