PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE

This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.