Forecast of the Dynamics of the Stock Market on the Basis of Macroeconomic Factors

Student: Zalyaletdinov Marat

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2016

In this paper, we examine the effect of macroeconomic factors on the dynamics of the stock market. The MICEX index was taken as an indicator of the dynamics of the stock market. The variables affecting the dynamics of the index were selected basic macroeconomic factors.All regarded the time series are taken into account for the period from 01.01.2004 01/12/2015 at the year with monthly intervals. Total 143 observations for each time series. All forecasting models are based on selected variables passed all stages of processing and conversion. Forecasting models include a regression model and ARMA model. The result of the construction of the model serve as the target value of the index in the forecast period.

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