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Insufficient and Excessive Reaction of the Stock Market to the News Shocks

Student: Sitnikova Alla

Supervisor: Sergey M. Menshikov

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

The considering paper is aimed to investigate the phenomenon of under-reaction and over-reaction of the Russian stock market to the news shocks. The purpose of the study is to identify the significant factors that influence how exactly the market is going to react to news shocks – in other words, the elicitation of the effect of insufficient or abundant reaction of the stock market. The following approaches are used during the study: linear regression with panel data and instrumental variable. The necessary data is planned to be taken from different sources, such as Central Bank website, Bloomberg and Yahoo.Finance. News will be taken from the main Russian medium: "RIA Novosty". The expected results of the study will let us understand why the market responds to certain shocks exessively, and insuffitiently to other, and what exact factors cause that. This investigation consists of five main parts: introduction, literature review, description of the methodology, empirical part and results' analysis and conclusion.

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