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Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Dzhamilia Garibmamadova
Interconnection of Russian Stock Indices and Foreign Ones and Its Impact on Exchange Rate of Ruble
Economics and Statistics
(Bachelor’s programme)
2016
This paper analyzes the interference of stock indices in Russia, USA, Brazil, India, China, the Netherlands, Germany and France as well as the USD/RUB rate. The study covers the period from 2009 - 2016 , which includes both times of crisis, and stable time. This was done in order to trace the change in the index links during different periods of economic development.

           A number of significant relationships that allows us to say that the Russian stock market is sufficiently integrated into the international financial system. Detailed findings can be found after each chapter, and after each of the analytical section.

           VECM analysis gave quite unexpected results: One of its findings is reduced number of relationships with other RTS stock indices (the number has fallen from 5 to 2). If we take into account the political factors, some instability of relations with Ukraine and other countries, it is an evident result that the investment attractiveness of Russia decreased slightly, that led to the outflow of investment and a reduction in the relationships with other stock markets.

    Establishing nature of the relationship with the BRIC countries quite a controversial issue because of VECM say about the absence of such a significant interaction between the indices, while the test of Granger causality indicates the significant impact of the BRIC countries influencing the USD/RUB rate. In addition, the cointegration analysis demonstrated a significant effect of the Brazilian and Chinese index in all three periods as RTS dynamics and the dynamics of the dollar.

           Definitely the impact of the US stock market is confirmed. The most influential European indices the RTS are DAX and CAC.

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