Currency Devaluation and Stock Market Prices

Student: Khvoinskiy Aleksandr

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2016

In this research work I have analyzed rapid devaluation in Russia (1st September 2014 -15th June 2015) and slow devaluation in Brazil and Mexico (May 2011 - May 2016). In Russia devaluation research part key factors, which explain devaluation process, were determined. Particularly, these factors are such fundamental factors as leverage, EBITDA margin. Besides fundamental factors, other crucial factors are industry dummy and Market Capitalization Dummy. In addition to the following research, efficiency of the Russian stock market was checked and significant inefficiences were detected. Particularly, there were return lags even for large Russian corporations. (the reaction of the export companies to devaluation had about 90 days lag in Russia) The global research showed what industries among exporters had the best and which had the worst perfomance. Secondly, country effects were included in research.

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