The analysis of COVID-19 impact on the internet and telecommunications service sector through modelling the dependence of shares of Russian companies on the American stock market

Relevance. The coronavirus pandemic has both negative and less obvious positive effects on the world economy. In order to better understand these processes, it is necessary to examine the sectors that have shown growth against the general decline in production. Such sectors include the Internet and telecommunication services. Research objective. The purpose of this study is to model the impact of the pandemic and foreign companies on the value of shares of Russian tech companies. Data and methods. The study involves daily share price data of such American corporations as Google, PayPal, Netflix, Adobe, and the Russian company Yandex. Moreover, we used the dummy variable Covid-19. The econometric analysis was conducted by using vector autoregression (VAR). The direction of cause-and-effect relationships was investigated with the help of the Granger test, and the effect of single shocks, through impulse response functions (IRF). Results. A stable VAR model was built. The IRF graphs were used to describe the impact of the pandemic and the value of US. companies on Russian companies. Conclusions. The study shows that the 2020 pandemic has proven to be a positive shock for companies in the ICT sector, contributing to increased demand for their services and market capitalization. The pandemic has affected both Russian and foreign companies. The study has also found the influence of the American stock market on share prices in Russia. Russian companies reacted to changes in the American stock market with a lag of up to 10 days.