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Reference:

Helsinki Stock Exchange Index during World War One: Statistical Test of Hypotheses on the Basis of Counter-Factual Modeling

Anisimova Dar'ya

ANISIMOVA Darya Vyacheslavovna – Research Assistant, Section of Historical Informatics, History Department, Lomonosov Moscow State University;

History Department of MSU, Lomonosovsky prospekt 27-4, Moscow 119991 Russia;
autea@yandex.ru

autea@yandex.ru
Другие публикации этого автора
 

 

DOI:

10.7256/2585-7797.2020.1.32459

Review date:

24-03-2020


Publish date:

11-04-2020


Abstract: The article proposes an improved model of St. Petersburg Stock Exchange index dynamics and constructs a similar model of Helsinki Stock Exchange index on the basis of published results of a counterfactual model predicting the hypothetical dynamics of St. Petersburg Stock Exchange index after July 1914 under the assumption that there is no war. The author hypothesizes that internal economic factors that determined the downward trend of St. Petersburg Stock Exchange index also influenced the dynamics of Helsinki Stock Exchange index under the assumption that there was no war. To test this hypothesis the author has constructed (in the R software environment) the ARIMA statistical model that is an integrated autoregressive-moving average model which extends the ARMA model for non-stationary time series. The constructed counterfactual models proved that while the influence of pre-war factors remained, the dynamics of both indices did not show similar trends thus suggesting that the Finnish stock market was developing without any noticeable look at St. Petersburg Stock Exchange and inner economic factors of the Russian Empire.


Keywords: stock exchange index, St. Petersburg Stock Exchange, Helsinki Stock Exchange, the Grand Duchy of Finland, Russian Empire, economic history, World War I, counterfactual model, ARIMA model, software environment R
This article written in Russian. You can find full text of article in Russian here .

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Shepelev L. E. Aktsionernye kompanii v Rossii: XIX — nachalo XX veka. SPb., 2006. 603 s.
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Borodkin L. I., Perel'man G.E. Struktura i dinamika birzhevogo indeksa dorevolyutsionnoi Rossii: analiz rynka aktsii vedushchikh promyshlennykh kompanii// Ekonomicheskaya istoriya. Ezhegodnik-2006, M., ROSSPEN, 2006. C. 171-221.
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Tudeer A. E., Suomen Pankki 1912-1936, 1939. 355 p.
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