Impact of Changes in Indicators for the Price of Russian Companies

Student: Zhabin Ivan

Supervisor: Sergey M. Menshikov

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 8

Year of Graduation: 2016

This paper analyzes the relationship between the publications of 9 Macroeconomic indicators (CPI, orders for durable goods, sales of existing homes, the unemployment rate, Nonfarm, Manufacturing PMI, services PMI, index of retail sales, consumer confidence index) and quotes of the Russian stock market in the period from 2008 to 2016. For this purpose the E-GARCH model, standard regression analysis and event method were used. This publication examines the impact indicators on the quotes in the long term as well as short term yields and volatility of the MICEX index. What`s more, the entire period is divided into three business cycles.

Full text (added May 15, 2016)

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