Year of Graduation
The Analysis of Factors, which Influence the Dynamics of Russian Shares according to Changes in a Financial Report
This research is intended to cover the major issues of the Russian stock dynamics and its reaction to any kinds of changes in the financial world. In particular, the analysis is devoted to market reaction evaluation in case of release of financial statements. The time-period was set from 3-rd quarter 2006 till 3-rd quarter 2015. Public joint-stock companies ‘Gazprom’ and ‘Lukoil’ and open joint-stock company ‘Novatek’ were taken into account, so that the sample consisted of 111 observations. Then, they (observations) were classified into ‘good’, ‘bad’ and ‘neutral’ news according to selected financial indicator. For instance, in case of examining revenue growth rate the difference between actual value and previous quarter one was counted, while net income was compared to forecasted values. After a procedure being done, some subsamples were created. Following this, the Event-study approach was used to searching for factors influencing the dynamics of stock prices. The results showed that if financial statements contain positive information then it leads to an increase in stock prices and vice versa. Moreover, the hypothesis that the market does not reflect the situation immediately and that the stock price does not come back to its primary level have been confirmed, thanks to calculation of cumulative abnormal returns.