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Influence of Macroeconomic Factors on the Stock Market
This paper analyzes the impact of macroeconomic factors on the shares value of Russian companies of the mining sector. The error correction model (VECM) was built to analyze the influence. This model allows doing a more qualitative analysis, since it takes into account not only the impact of the factors themselves, but also their values in the previous period. Inflation rate, money supply, interest rate and ruble exchange rate were chosen as explanatory variables. Econometric analysis confirms a direct impact of money supply indicators and the consumer price index on the market share values. Other variables have only an indirect effect.