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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Vladimir Kildishev
The Impact of News on Stock Market by the Example of Oil and Gas Industry
Financial Engineering
(Master’s programme)
2019
This graduate qualification work is executed by Vladimir Kildishev – the student of Higher School of Economics, “Finance and Credit” discipline, “Financial Engineering” area, group MFIN171.

The topic of graduation thesis is the reaction of a stock market to a news background through the example of oil market.

Work specification: the total volume is 60 pages, 19 figures, 4 tables. The research work consists of introduction, review of native and foreign academic literature, research methodology, conclusion, bibliographic list.

The work objective is to prepare a necessary theoretic instrumentarium for identification of the grade of market members’ reaction to the asset value of oil companies after news release.

The subject of the research is oil and gas segment of Russian stock market.

The work reviews theoretical bases of analysis methods of econometrical models. Practical part of the work contains two the most advanced and significant methods: event-driven and calendar.

In the result of using these methods of econometric analysis, it is understood that the cumulative return dynamics changes sharply after news release.

In cases when actual oil output surpasses the expected volume, the stock yield reduces dramatically. And vice versa, when the expected volume exceeds actual, the stock yield rises steeply.

After the analysis of econometric models it is understood that the news about the gap between actual and expected output volumes exerts the greatest impact on the stock yield within one trading day.

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