Influence of Change of Indicators of the Finance Market on the Stock Prices of the Russian Companies

The development of a process of economic co-integration between countries leads to a mutual influence of economies on each other. According to this, Russian stock market can react not only to changes in national macroeconomic factors but also to some foreign indicators of the financial market. This paper estimate the impact of changes in the Consumer Price Index, Industrial Production, Trade balance and Purchasing Managers` Index in the manufacturing sector in the United States of America and China on the return of the MICEX 10 index. An exponential EGARCH model based on monthly data from February 2008 to January 2018 is used to evaluate the long-term impact, and the short-term reaction of the market is estimated using the Event Study method. The results suggest the existence of a long-term equilibrium relationship between the return of the stock index and the Consumer Price Index in the USA, as well as the Industrial Production Index in China, and for both countries revealed the long-term impact of changes in the Purchasing Managers` Index. According to the main conclusions of the short-term analysis, the reaction of the Russian stock market to the changes in the values of analyzed indicators depends on the current phase of the economic cycle and on the nature of the events, positive (actual more than forecast) or negative (actual less than forecast).