Russian Stock Market Reaction to US Scheduled Macroeconomic News

This research deals with the Russian stock market systematic reaction to US scheduled macroeconomic news. The purpose of the research is to identify linkages between US scheduled macroeconomic news releases and the Russian stock market and the character of these linkages. The relevance of this study is driven by the fact that Russia has developed commercial and financial relations with the US which are the largest world economy influencing global processes including financial markets processes. The developed knowledge about the Russian stock market and its principles would be definitely useful for several groups of market participants, namely investors, hedgers and regulators, which emphasizes the relevance of this work as well. The period under consideration includes 9 years, the study is conducted with event study methodology. A wide range of reviewed indicators includes price indicators, real economy indicators and labor market indicators. Great attention is paid to the analysis of previous studies and their methodological flaws as well as data and methodology features in order to provide precise logical results in this work. The hypothesis about significance of some kind of systematic events (scheduled macroeconomic news releases) is tested in the research as well as the overreaction effect hypothesis. The analysis shows that on average the Russian stock market reacts instantly to most US news releases, although the direction of this reaction is not obvious. The extent of the impact dependent on the information content is the same for most indicators. However, sometimes we can see a substantial difference. Key words: scheduled macroeconomic news, news surprises, event study.