The Prediction of Capitalization of Russian Stock Market

Student: Kiselev Nikita

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

In this bachelors research the author tries to predict the capitalization of the stock market of the Russian Federation. Three-factor regression was created for the following variables: oil, RUB/USD rate, the composite index of leading stock exchanges. According to the daily quotation of the index in the period 01.04.2015 - 31.12.2015 was drawn a significant model, and in the period from 01.01.2016 - 31.03.2016 it was tested on historical data. As a result, was confirmed the high explanatory power of the model. The forecast trend quite accurately describes the dynamics of the RTS index. It is worth noting that the predicted values were lower than the actual capitalization, which is logical, because the forecasting of the entire market capitalization is not confined entirely to the analysis of the dynamics of a few factors. Moreover, this paper outlines the dynamics of capitalization of the three major sectors of the Russian economy - the metallurgical, oil and gas, banking.

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