Influence of Changes in Stock Market Indicators on the Price of Shares in Russians Companies

<p>This paper focuses on the Russian stock market reaction to the news of U.S. macroeconomic indicators. The main purpose of this analysis is to assess the degree of influence of the news on consumer confidence and the labor in America on the expectations of the market players regarding the yields of Russian stocks. The macroeconomic indicators used in this work are the sentiment index of the University of Michigan and the nonfarm payroll employment in U.S. and as a proxy for the Russian stock market RTS index is used. Data for this work is taken for the period from 2012 to 2013 included. Using a separate regression analysis, where the deviation values of these indices from the expected values are used as an explanatory variables and intraday abnormal returns on the day the news about these indicators is released is used as an explained variable it was found that abnormal returns are positively correlated with the magnitude of deviation for both indicators and that the nonlinear growth of the influence of the news on the market reaction in the case of Michigan indicator, but not in the case of the nonfarm payrolls. Also the hypothesis that this relationship is stronger in absolute terms for the nonfarm payrolls compared to Michigan indicator.</p>