Analysis of Stock Market Reactions to Macro Shokes on the Example of the Impact of Sanctions

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.