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Features of the Influence of Exchange Rate on Sectoral Stock Indices

Student: Botikova Anastasiia

Supervisor: Alexandra Galanova

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2017

In the past few years, there have been significant fluctuations of the exchange rate in Russia. These fluctuations affect the value of stocks and financial instruments. In this paper, we examine the effect of the exchange rate on the sectoral stock indices of the Moscow Stock Exchange. For the analysis, there were used monthly data for 8 sectoral stock indices for the period 2007-2016. The exchange rate, the industrial production index, the consumer price index, and the money supply were included in the model. The main result of the study is the conclusion that the exchange rate has a significant impact on all sectoral stock indices, except for the consumer and energy sector index. A positive effect of exchange rate was found for the indices of metals and mining, oil and gas, chemistry and petrochemistry and the financial industry. The negative influence of the exchange rate is characteristic for the sectoral indices of mechanical engineering and telecommunications.

Full text (added May 10, 2017)

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