Year of Graduation
Macrofactors and Stock Market
Financial Markets and Financial Institutions
In this paper, the relationship between the stock indices of the BRICS countries and various macroeconomic factors is analyzed. Research methods include the study of theoretical concepts on the topic, analysis of vector autoregressive models, as well as modern methods of machine learning, in particular, the random forest algorithm. The latter is used to determine the set of macroeconomic factors that have the most significant impact on each of the BRICS stock markets separately. The results of the research show that gold prices have a positive impact on the stock markets of Brazil, China and South Africa. Positive influence of the oil price on the stock market for the country of the oil exporter Russia and negative for all other BRICS countries was also revealed, as they are net importers of oil.