The Assessment of the Factors Influencing the Russian Stock Market Performance

In this paper, we study the behavior of the RTSI index as one of the main indicators of the situation on the Russian stock market. The RTSI Index is a composite indicator combining the value of the blue-chip shares with weight coefficients corresponding to their capitalization. The main goal of the work is to build a model capable of predicting the index, having data on selected explanatory factors, as well as about the index itself in previous periods. The key indices of stock exchanges of the USA, Great Britain and Germany (S & P500, FTSE100, DAX), quotations of Brent crude, the dollar-to-ruble exchange rate, the MSCI Russia index and RGBITR (the composite index for government bonds in rubles) were chosen as such factors. Study period: 09/01 / 2014-30 / 12/2016. This period was divided into three time intervals according to the degree of volatility: high, moderate and low. Data was unloaded from the main Internet resources, and then processed. Interest consisted of the ability to predict the dynamics of the RTSI index at the time of opening of the exchange trades taking into account the closing indicators. The dependence was constructed in the period t-1 for explanatory variables and in the period t for the explained. An ARMAX (p, q) model was constructed for each of the periods. The influence of factors has changed over time, which can be explained by the changing event background of the international economy and politics.