The Impact of New Information on Share Prices in the Banking Sector of Russia

These days against the background of rising uncertainty and negative events in the banking sphere of Russia the understanding of the impact of new information appearing on the market on banks’ share prices tends to play an important role. This research paper aims to identify the direction and magnitude of the different groups of news effects on share prices in the Russian banking sector. Although, there is a plenty of literature offered on the subject considering other countries datasets, it still lacks an integrated approach to analyzing this influence on the Russian market. A complex analysis that includes the testing of several news types effects on Russian banks’ shares using event-study methodology and alternative research method implementing news index construction is designed to help to fill this gap. The significant results were obtained for dividends growth announcements, credit rating downgrades and news in regulation changes sphere as the most crucial events occurring recently in the banking sector of Russia.