The Analysis of Factors Affecting the Indices of Russian Stock Market

The purpose of this thesis is to identify the key factors affecting the Russian stock market. To this end, the author, as a result of the analysis of the literature, will identify factors potentially affecting the Russian stock market, as well as multi-factor regression models that explain the movement of the Russian stock market both in aggregate (the MICEX index) and in individual sectors of the Russian economy, and the results obtained will be interpreted. In the framework of this work, it is planned to identify key factors affecting the Russian stock market in 2009-2017. Also, in the currently existing studies, the Russian stock market is viewed in its entirety as a single stock index (MICEX), while research on key factors affecting its individual sectors (consumer, oil and gas, finance, energy etc.) have not been found to date, which will be covered by this study. As a result of the work done, it was revealed that the key factors affecting the Russian stock market are: the level of prices for non-food products, the S & P 500 index, the DAX 30 index, the price of futures for brent oil, the volume of coal production in Russia, the consumer sentiment index and the number unemployed citizens. For each of the sectoral stock indices reviewed, a set of key factors, as well as factors before the factors, turned out to be individual. Most of the results obtained correspond to the results of the studies, which confirms the adequacy of the results obtained, but the nature of the links between the stock indices and some factors turned out to be uninterpretable, which is probably due to the absence of other significant variables, temporary market shifts or the presence of any undiscovered events or external effects, which obviously requires additional investigation.