The Duration of the Impact of the “Investor Fear Index” on the Russian Stock Market

Abstract

In the process of investing during the period of expectation of a new global economic crisis, it is important to sell existing shares on time. In this regard, the topic of research on the impact of the “investor fear index” on the Russian stock market is relevant. The purpose of the research is to establish the duration of the impact of the CBOE Volatility Index (VIX) on the American and Russian stock markets. To achieve this goal, the following tasks have been solved: theoretical issues of the VIX relationship with stock markets, global economic crises, risk-free assets, monetary incentives have been considered; an appropriate research methodology has been selected; economic and mathematical models have been built reflecting the relationship of the stock markets of the United States and Russia with the “investor fear index”. The results of the study work showed that after the impact of high values of the “investor fear index”, signaling the onset of a new global economic crisis, the Russian stock market will recover and grow within twelve years, the price of shares of Sberbank PJSC — within seven years, the price of shares of Gazprom PJSC — within four years. The results of tainted have practical importance for long-term investors.