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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Filipp Veselov
Analysis of Stock Market Reactions to Macro Shokes on the Example of the Impact of Sanctions
2017
The latter includes an efficiently stable and predictable cross-country international cooperation and non-flexible trade contracts. In this regard, trade sanctions, imposed by former trade partners, are expected to produce a considerable effect on a country’s economic development. While taking into consideration Russian – Ukraine political frictions around Crimea, the aforementioned problem has been observed in terms of a russian economy sine 2014. At the very beginning, ukranian sanctions towards Russia were relevant to systematically important national companies as well as to a number of physical individuals only. However, in July 2014 ukranian government implemented so-called sectoral sanctions that forbid a major part of leading russian banks and russian state gas and oil companies to function in terms of a national economy. The goal of the master thesis is to evaluate numerically how the sanctions from a behave of ukranian government affect security market in Russia. As a result, the author concludes the following:

1. Russian security market reacts negatively while experiencing the sanctions. In this sense, in terms of an event study method the market perceives sanctions as a “bad news”.

2. The first act of sanctions produced a positive effect on russian security market before entering in force and a negative one after the moment of their official declaration.

3. A negative relationship between sectoral sanctions and russian state oil and gas companies could be observed.

In addition, the study has also documented a statistically significant positive interconnectedness between countersanctions from a behave of russian government and its national security market, but only at the moment of their implementation. The following period could be characterized by the negative aforementioned interrelation.

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