Minin A.E. ANALYSIS OF INVESTOR BEHAVIOR AS A TOOL FOR MARKET RISK MANAGEMENT: A COMPARATIVE STUDY OFTHE OIL AND STOCK FUTURES MARKETS
DOI: https://doi.org/10.15688/ek.jvolsu.2026.1.8
Alexey E. Minin
Postgraduate Student, Moscow Financial and Industrial University “Synergy”, Meshchanskaya St, 9/14, Bld. 1, 129090 Moscow, Russian Federation, This email address is being protected from spambots. You need JavaScript enabled to view it. , https://orcid.org/0009-0000-1960-593X
Abstract. In a high market uncertainty environment, developing robust tools for diagnosing and managing financial risks becomes a crucial task. This article is devoted to the analysis of investor behavior in the Russian futures market, proposing a novel approach for risk diagnostics. The purpose of the study is to develop and test a methodology for the comparative analysis of open interest data across different market segments: commodity (Brent oil futures) and stock (Sberbank stock futures). The methodology is based on autoregressive econometric models (AR(1)) built on weekly data from the Moscow Exchange and the Bank of Russia for the 2020–2025 period. The models incorporate key macroeconomic factors, including the key rate, inflation, and the Russian market volatility index (RVI). The main result is the empirical proof of a heterogeneous reaction of market participants to macroeconomic shocks. It was found that in the commodity market, a rise in volatility leads to significant risk aversion from retail investors, while institutional investors show no reaction, which confirms their primary hedging function. In contrast, in the stock market, increased volatility causes a synchronous reduction in positions for both groups, indicating its speculative nature. The conclusions demonstrate that a comparative analysis of open interest serves as a powerful diagnostic tool. It allows risk managers to distinguish market reactions to systemic panic from responses to fundamental factors, which is of high practical significance for investment strategy and corporate hedging.
Key words: risk management, futures market, investor behavior, open interest, futures, econometric modeling, key rate, volatility.
ANALYSIS OF INVESTOR BEHAVIOR AS A TOOL FOR MARKET RISK MANAGEMENT: A COMPARATIVE STUDY OFTHE OIL AND STOCK FUTURES MARKETS by Minin A.E. is licensed under a Creative Commons Attribution 4.0 International License.
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