The Impact of News on Russian Stock Markets

Student: Shchukin Vladislav

Faculty: Faculty of Economics, Management, and Business Informatics

Educational Programme: Finance (Master)

Year of Graduation: 2017

In this paper, the author studies the effect of the news on the Russian stock market within two years since January 2014. The study is succeeding in establishing the relationship between returns of the MICEX and the number of categories of political and economic news. At the same time, the author showed that the impact of political news is more significant than the impact of economic news. The study also found that news has an impact on the return of the MICEX 10 on average not more than 30 minutes. In addition to this, the author showed that the greatest effect from the publication of news is already observed in the first 5-10 minutes from the moment of the news publication. Thanks to the research, comparing the reaction of the MICEX 10 and MSCI Russia, it was also possible to establish that foreign investors are less sensitive to the news publication when making decisions.

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