Year of Graduation
Statistical Analysis of the Dynamics of the Russian Stocks since the IPO
School of Statistics, Data Analysis and Demography
This work is devoted to the analysis of the dynamics of Russian companies since the IPO. The author examines the causes which impel companies to become public. Then he reflects the reasons for companies to become public. After that he analyzes profitability of foreign stocks in the short and long term. The next step in the analysis is to calculate the profitability of Russian companies in the short and long term and compare it to the results of the foreign companies. In the final part of his analyses, author models the behavior of prices of Russian stocks divided into several industry groups.As initial data close daily share prices of Russian companies that have come to IPO were used. Source of this data is Bloomberg and Reuters business terminals. Databases from FINAM and RBC about IPO of Russian stock were also used to get initial prices.For each share an initial investor premium was calculated. It was calculated as difference between the price at which the share was sold to initial investors and the closing price of the first trading day. An income for “buy and hold” strategy was also calculated. It was calculated as the difference between the closing price of the first trading day and the closing price of the shares after three years. There was also a grouping of all the information on a sectorial basis. In each group the main components charactering the most of group dispersion were detached. For the obtained components graphs presenting its trend were built. Also major components have been tested for stationarity (by Diki-Fuller tests), modified for stationary species for use in the regressions. For each industrial group a regression was created. Stationary components were use as independent variables and historical data for same industry’s group company as dependent one.It was found that Russian stocks exhibit poor premium for initial investors. Calculated premium is 7.22%. Income of investments from "buy and hold" strategy with a horizon of 3 years was even negative, equal to -19.69%. Dedicated principal components by industry groups showed a negative trend in fourgroups, and neutral dynamics in one group.