mgimobusinessМеждународный бизнесInternational Business2949-639XФонд поддержки образовательных инициатив «Новый взгляд»10.24833/2949-639X-2025-2-12-5-27mgimobusiness-115Research ArticleСтатьиПередача финансовых шоков от рынков Восточной и Юго-Восточной Азии на российский фондовый рынок (2008–2023): выявление эпизодов и анализ методик идентификацииTransmission of Financial Shocks from East and Southeast Asian Markets to the Russian Stock Market (2008–2023): Identifying Episodes and Analysing Detection Methodologieshttps://orcid.org/0000-0002-3152-3934МалкинаМ. Ю.MalkinaM. Yu.

доктор экономических наук, профессор, главный научный сотрудник Центра макро- и микроэкономики

Нижний Новгород

Doctor of Economic Sciences, Professor, Chief Researcher at the Centre for Macro- and Microeconomics

Nizhny Novgorod

mmuri@yandex.ruhttps://orcid.org/0000-0002-0683-3340РогачевД. Ю.RogachevD. Yu.

кандидат социологических наук, доцент кафедры мировой экономики и таможенного дела

Нижний Новгород

Candidate of Sociological Sciences, Associate Professor at the International Economics and Customs Affairs Department

Nizhny Novgorod

rogistyle@mail.ruНижегородский государственный университет им. Н.И. ЛобачевскогоРоссияLobachevsky State University of Nizhny NovgorodRussian Federation20252706202502 (12)527Copyright © Малкина М.Ю., Рогачев Д.Ю., 20252025Малкина М.Ю., Рогачев Д.Ю.Malkina M.Y., Rogachev D.Y.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://ibj.mgimo.ru/jour/article/view/115

Настоящее исследование посвящено выявлению эпизодов передачи финансовых шоков с азиатских фондовых рынков на фондовый рынок России в 2008–2023 гг. Основное внимание уделяется систематизации ключевых кризисных эпизодов, их влиянию на экономику России и азиатских стран, а также анализу существующих методик тестирования контагиозности рынков и их ограничений. В работе систематизируются принципиальные различия между совместными шоками и финансовым заражением, а также описываются подходы к верификации периодов финансового заражения с помощью статистических инструментов. Для идентификации финансового заражения российского фондового рынка от фондовых рынков азиатских стран использовался модифицированный подход К. Форбс и Р. Ригобона. В результате его применения установлена наибольшая интенсивность заражения российского фондового рынка от азиатских рынков в период экономической рецессии в Китае 2014 года и во время пандемии COVID 2020 года. За весь исследуемый период российский фондовый рынок показал наибольшую восприимчивость к шокам, исходящим от фондовых рынков Республики Корея, Индонезии и Гонконга. Проведенное исследование позволило уточнить механизмы трансмиссии кризисных явлений в условиях глобальной нестабильности, выявить специфику восприимчивости российского фондового рынка к азиатским шокам, а также сформировать методологическую основу для их дальнейшего прикладного анализа. Полученные выводы свидетельствуют о необходимости комплексного подхода к идентификации контагиозности и могут быть использованы регуляторами и участниками рынка для разработки превентивных мер по снижению рисков межстранового финансового заражения.

The study focuses on identifying episodes of transmission of financial shocks from Asian stock markets to the Russian stock market in 2008–2023. Particular emphasis is placed on systematising key crisis episodes, their impact on the economies of Russia and Asian countries, and analysing existing methodologies for testing market contagion. The paper outlines fundamental distinctions between joint shocks and the transmission of financial crises, as well as approaches to verifying periods of financial contagion using statistical tools. To identify financial contagion of the Russian stock market originating from the stock markets of Asian countries, a modified approach by K. Forbes and R. Rigobon was employed. Its application revealed the greatest intensity of contagion of the Russian stock market from Asian markets during the China’s 2014 economic recession and the 2020 COVID pandemic. Over the entire period, the Russian stock market showed the greatest susceptibility to shocks emanating from the stock markets of the Republic of Korea, Indonesia, and Hong Kong. The conducted research made it possible to clarify the mechanisms of crisis transmission phenomena amid global instability, identify the specific vulnerabilities of the Russian stock market to Asian shocks, and establish a methodological foundation for further applied analysis. The findings underscore the need for a comprehensive approach to detecting contagion and may assist regulators and market participants in developing preventive measures to mitigate the risks of cross-border financial contagion.

азиатские фондовые рынкифондовый рынок Россиивзаимосвязанностьэкономические кризисышокисистемный рискфинансовое заражениеAsian stock marketsRussian stock marketeconomic crisesshockssystemic riskfinancial contagionReferencesДзюба С.А., Тишковец В.С., Щепелева М.А. Трансмиссия системного риска между банковскими системами стран Азиатско-Тихоокеанского региона и России // Финансы: теория и практика. 2023. № 27 (5). С. 182–194.Dzyuba S.A., Tishkovets V.S., Shchepeleva M.A. Transmissiya sistemnogo riska mezhdu bankovskimi sistemami stran Aziatsko-Tikhookeanskogo regiona i Rossii [Transmission of Systemic Risk Between the Banking Systems of the Asia-Pacific Countries and Russia]. Finansy: teoriya i praktika [Finance: Theory and Practice], 2023, vol. 27, no. 5, pp. 182–194. (In Russ.).Дробышевский С.М. Причины повышенной инфляции в российской экономике // Вопросы экономики. 2025. № 1. С. 5–31.Drobyshevskiy S.M. Prichiny povyshennoj infljacii v rossijskoj jekonomike [Causes of Elevated Inflation in the Russian Economy]. Voprosy jekonomiki [Economic Issues], 2025, no. 1, pp. 5–31. (In Russ.).Егорова Ю.В., Непп А.Н., Тищенко И.И. Эволюция влияния COVID 19 на фондовый рынок России: эффект паники // Финансы: теория и практика. 2024. № 28 (2). С. 192– 205.Egorova Yu.V., Nepp A.N., Tishchenko I.I. Evolyutsiya vliyaniya COVID-19 na fondovyj rynok Rossii: effekt paniki [The Evolution of COVID-19 Impact on the Russian Stock Market: Panic Effect]. Finansy: teoriya i praktika [Finance: Theory and Practice], 2024, vol. 28, no. 2, pp. 192–205. (In Russ.).Лесмана Д., Юдаруддин Р. Реакция рынка на COVID-19 и политические меры в различных секторах: исследование событий на фондовом рынке стран АСЕАН // Финансы: теория и практика. 2024. № 28 (1). С. 30–42.Lesmana D., Yudaruddin R. Reaktsiya rynka na COVID-19 i politicheskie mery v razlichnykh sektorakh: issledovanie sobytij na fondovom rynke stran ASEAN [Market Reaction to COVID-19 and Policy Measures Across Sectors: An Event Study of ASEAN Stock Markets]. Finansy: teoriya i praktika [Finance: Theory and Practice], 2024, vol. 28, no. 1, pp. 30–42.Малкина М.Ю. Финансовое заражение отраслей российской экономики от нефтяных шоков в период пандемии // Terra Economicus. 2023. № 21 (2). С. 6–22.Malkina M.Yu. Finansovoe zarazhenie otraslej rossijskoj ekonomiki ot neftyanykh shokov v period pandemii [Financial Contagion From Oil Shocks During the Pandemic: A Cross-Sector Analysis]. Terra Economicus, 2023, vol. 21, no. 2, pp. 6–22. (In Russ.).Минакир П.А. Экономика пандемии: российский путь // Пространственная экономика. 2020. № 16 (2). С. 7–18.Minakir P.A. Ekonomika pandemii: rossijskij put’ [Pandemic Economy: The Russian Way]. Prostranstvennaya ekonomika [Spatial Economics], 2020, vol. 16, no. 2, pp. 7–18. (In Russ.).Хоранян М.Э. Секторальные перетоки волатильности в кризисные периоды на примере пандемии COVID-19 // Аудиторские ведомости. 2024. № 3. С. 118–125.Khoranyan M.E. Sektoral’nye peretoki volatil’nosti v krizisnye periody na primere pandemii COVID-19 [Sectoral Spillovers of Volatility During Crisis Periods Using the Example of the COVID-19 Pandemic]. Auditorskie vedomosti [Audit Journal], 2024, no. 3, pp. 118–125. (In Russ.).Яруллин Р.Р., Степанова Н.В. Влияние пандемии COVID-19 на финансовые рынки // Экономика и управление: научно-практический журнал. 2021. № (4). С. 62–68.Yarullin R.R., Stepanova N.V. Vliyanie pandemii COVID-19 na finansovye rynki [The Impact of the COVID-19 Pandemic on Financial Markets]. Ekonomika i upravlenie: nauchno-prakticheskij zhurnal [Economics and Management: Scientific-Practical Journal], 2021, no. 4, pp. 62–68. (In Russ.).Alqaralleh H., Canepa A. Evidence of Stock Market Contagion During the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach // Journal of Risk and Financial Management. 2021. № 14 (7). Pp. 1–18.Alqaralleh H., Canepa A. Evidence of Stock Market Contagion During the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach. Journal of Risk and Financial Management, 2021, no. 14 (7), pp. 1–18.Basu R. Financial Contagion and Investor Learning: An Empirical Investigation // IMF Working Paper. 2002. № 2 (218). Pp. 1–37.Basu R. Financial Contagion and Investor Learning: An Empirical Investigation. IMF Working Paper, 2002, no. 2 (218), pp. 1–37.Caporale G.M., Cipollini A., Spagnolo N. Testing for Contagion: A Conditional Correlation Analysis // Journal of Empirical Finance. 2005. № 12 (3). Pp. 476–489.Caporale G.M., Cipollini, A., Spagnolo, N. Testing for Contagion: A Conditional Correlation Analysis. Journal of Empirical Finance, 2005, no. 12 (3), pp. 476–489.Cevik E.I., Terzioglu H.C., Kilic Y., Bugan M.F., Dibooglu S. Interconnectedness and Systemic Risk: Evidence from Global Stock Markets // Research in International Business and Finance. 2024. № 69. Pp. 102–122.Cevik E.I., Terzioglu H.C., Kilic Y., Bugan M.F., Dibooglu S. Interconnectedness and Systemic Risk: Evidence from Global Stock Markets. Research in International Business and Finance, 2024, no. 69, 102–122.Chinazzi M., Davis J.T., Ajelli M., Gioannini C., Litvinova M., Merler S., Vespignani A. The Effect of Travel Restrictions on the Spread of the 2019 Novel Coronavirus (COVID-19) Outbreak // Science. 2020. № 368 (6489). Pp. 395–400.Chinazzi M., Davis J.T., Ajelli M., Gioannini C., Litvinova M., Merler S., Vespignani A. The Effect of Travel Restrictions on the Spread of the 2019 Novel Coronavirus (COVID-19) Outbreak. Science, 2020, no. 368 (6489), pp. 395–400.Corsetti G., Pericoli M., Sbracia M. Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion // Journal of International Money and Finance. 2005. № 24 (8). Pp. 1177–1199.Corsetti G., Pericoli M., Sbraci M. Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion. Journal of International Money and Finance, 2005, no. 24 (8), pp. 1177–1199.Dornbusch R., Park Y. C., Claessens S. Contagion: Understanding How It Spreads // The World Bank Research Observer. 2000. № 15 (2). Pp. 177–197.Dornbusch R., Park Y. C., Claessens S. Contagion: Understanding How It Spreads. The World Bank Research Observer, 2000, no. 15 (2), pp. 177–197.Dsouza S., Singh N.P., Oliyide J.A. Dynamic Connectedness Among the BRICS Markets and the Recent Pandemic: An Application of the TVP-VAR Approach // International Journal of Emerging Markets. 2024. № 20. Pp. 104–117.Dsouza S., Singh N.P., Oliyide J.A. Dynamic Connectedness Among the BRICS Markets and the Recent Pandemic: An Application of TVP-VAR Approach. International Journal of Emerging Markets, 2024, no. 20, pp. 104–117.Dua P., Tuteja D. Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis // Journal of Quantitative Economics. 2021. № 19. Pp. 309–336.Dua P., Tuteja D. Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. Journal of Quantitative Economics, 2021, no. 19, pp. 309–336.Forbes K., Rigobon R. No Contagion, Only Interdependence: Measuring Stock Market Comovements // Journal of Finance. 2002. № 57 (5). Pp. 2223–2261.Forbes K., Rigobon R. No Contagion, Only Interdependence: Measuring Stock Market Comovements. Journal of Finance, 2002, no. 57 (5), pp. 2223–2261.Hansen K.B. Financial Contagion: Problems of Proximity and Connectivity in Financial Markets // Journal of Cultural Economy. 2021. № 14 (4). Pp. 388–402.Hansen K.B. Financial Contagion: Problems of Proximity and Connectivity in Financial Markets. Journal of Cultural Economy, 2021, no. 14 (4), pp. 388–402.Iwanicz-Drozdowska M., Rogowicz K., Kurowski Ł., Smaga P. Two Decades of Contagion Effect on Stock Markets: Which Events Are More Contagious? // Journal of Financial Stability. 2021. № 55. Pp. 100–109.Iwanicz-Drozdowska M., Rogowicz K., Kurowski Ł., Smaga P. Two Decades of Contagion Effect on Stock Markets: Which Events are More Contagious? Journal of Financial Stability, 2021, no. 55, pp. 100–109.Jang H., Sul W. The Asian Financial Crisis and the Co-Movement of Asian Stock Markets // Journal of Asian Economics. 2002. № 13 (1). Pp. 94–104.Jang H., Sul W. The Asian Financial Crisis and the Co-Movement of Asian Stock Markets. Journal of Asian Economics, 2002, no. 13 (1), pp. 94–104.Kuper G.H. Dynamic Conditional Correlation Analysis of Financial Market Interdependence: An Application to Thailand and Indonesia // Journal of Asian Economics. 2007. № 18 (4). Pp. 670–684.Kuper G.H. Dynamic Conditional Correlation Analysis of Financial Market Interdependence: An Application to Thailand and Indonesia. Journal of Asian Economics, 2007, no. 18 (4), pp. 670–684.Lu Y., Xiao D., Zheng Z. Assessing Stock Market Contagion and Complex Dynamic Risk Spillovers During COVID-19 Pandemic // Nonlinear Dynamics. 2023. № 111 (9). Pp. 8853– 8880.Lu Y., Xiao D., Zheng Z. Assessing Stock Market Contagion and Complex Dynamic Risk Spillovers During COVID-19 Pandemic. Nonlinear Dynamics, 2023, no. 111 (9), pp. 8853– 8880.Malkina M., Rogachev D. Financial Contagion of the Russian Stock Market from the Chinese Stock Market During the Covid-19 Pandemic // BRICS Journal of Economics. 2024. № 5 (4). Pp. 73–92.Malkina M., Rogachev D. Financial Contagion of the Russian Stock Market from the Chinese Stock Market During the Covid-19 Pandemic. BRICS Journal of Economics, 2024, no. 5 (4), pp. 73–92.Park C.Y., Shin K. Contagion through National and Regional Exposures to Foreign Banks During the Global Financial Crisis // Journal of Financial Stability. 2020. № 46. Pp. 100– 107.Park C.Y., Shin K. Contagion through National and Regional Exposures to Foreign Banks During the Global Financial Crisis. Journal of Financial Stability, 2020, no. 46, pp. 100–107.Sohrabi C., Alsafi Z., O’Neill N., Khan M., Kerwan A., Al-Jabir A., Agha R. World Health Organization Declares Global Emergency: A Review of the 2019 Novel Coronavirus (COVID-19) // International Journal of Surgery. 2020. № 76. Pp. 71–76.Sohrabi C., Alsafi Z., O’neill N., Khan M., Kerwan A., Al-Jabir A., Agha R. World Health Organization Declares Global Emergency: A Review of the 2019 Novel Coronavirus (COVID-19). International Journal of Surgery, 2020, no. 76, pp. 71–76.Spiteri G., Fielding J., Diercke M., Campese C., Enouf V., Gaymard A., Ciancio B.C. First Cases of Coronavirus Disease 2019 (COVID-19) in the WHO European Region, 24 January to 21 February 2020 // Eurosurveillance. 2020. № 25(9). Pp. 178–200.Spiteri G., Fielding J., Diercke M., Campese C., Enouf V., Gaymard A., Ciancio B.C. First Cases of Coronavirus Disease 2019 (COVID-19) in the WHO European Region, 24 January to 21 February 2020. Eurosurveillance, 2020, no. 25 (9), pp. 178–200.Terraza V., Boru İpek A., Rounaghi M. M. The Nexus Between the Volatility of Bitcoin, Gold, and American Stock Markets During the COVID-19 Pandemic: Evidence from VAR-DCCEGARCH and ANN Models // Financial Innovation. 2024. № 10 (1). Pp. 22–25.Terraza V., Boru İpek A., Rounaghi M.M. The Nexus Between the Volatility of Bitcoin, Gold, and American Stock Markets During the COVID-19 Pandemic: Evidence from VAR-DCCEGARCH and ANN Models. Financial Innovation, 2024, no. 10 (1), pp. 22–25.Tilfani O., Ferreira P., El Boukfaoui M.Y. Dynamic Cross-Correlation and Dynamic Contagion of Stock Markets: A Sliding Windows Approach with the DCCA Correlation Coefficient // Empirical Economics. 2021. № 60 (3). Pp. 1127–1156.Tilfani O., Ferreira P., El Boukfaoui M.Y. Dynamic Cross-Correlation and Dynamic Contagion of Stock Markets: A Sliding Windows Approach with the DCCA Correlation Coefficient. Empirical Economics, 2021, no. 60 (3), pp. 1127–1156.Xue J.Y., Hsiao C.Y.L., Li P., Chui C.M. Higher-Order Contagion Effects in Russian Fuel Export Markets: Evidence from COVID-19 Pandemic and Russia-Ukraine War // Energy Strategy Reviews. 2024. № 53. Pp. 101–114.Xue J.Y., Hsiao C.Y.L., Li P., Chui C.M. Higher-Order Contagion Effects in Russian Fuel Export Markets: Evidence from COVID-19 Pandemic and Russia-Ukraine War. Energy Strategy Reviews, 2024, no. 53, pp. 101–114.Zhao M., Park H. Bidirectional Risk Spillovers Between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach // Journal of Risk and Financial Management. 2024. № 17 (3). Pp. 110–115.Zhao M., Park H. Bidirectional Risk Spillovers Between Chinese and Asian Stock Markets: A Dynamic Copula-EVT-CoVaR Approach. Journal of Risk and Financial Management, 2024, no. 17 (3), pp. 110–115.Pentecôte J. S., Rondeau F. Trade Spillovers on Output Growth During the 2008 Financial Crisis // International Economics. 2015. № 143. Pp. 36–47.Pentecôte J.S., Rondeau F. Trade Spillovers on Output Growth During the 2008 Financial Crisis. International Economics, 2015, no. 143, pp. 36–47.

The authors declare that there are no conflicts of interest present.