The Impact of News Shocks on the Movement of Stock Markets

Student: Kharitonov Roman

Supervisor: Elena A. Buyanova

Educational Programme: Economics (Bachelor)

Final Grade: 7

Year of Graduation: 2016

This paper examines the impact of the news shocks on the returns and the volatility of Russian stock market during the period from January 2011 to February 2016. It was investigated whether macroeconomic shocks, oil market shocks or political, economic and catastrophic news influence the RTSI Index or not. The symmetrical and asymmetrical GARCH models were applied to study the manner in which the volatility and the returns were affected by the news. As a result, it was shown in the research that bad news shocks have significant impact on the market’s returns and volatility, while good news affect the returns only. Moreover, no evidence of macroeconomic shocks’ influence was obtained. The study proves the existence of so-called «leverage effect» on the Russian stock market.

Full text (added May 12, 2016)

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