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Fundamental Factors Affecting the MOEX Russia Index: a Retrospective Analysis

ФИО студента: Anastasiia Saltykova

Руководитель: Agata Maximovna Lozinskaia

Кампус/факультет: Faculty of Economics, Management, and Business Informatics

Программа: Finance (Master)

Год защиты: 2019

This paper is an empirical study of the changing nature of the dependence of fundamental factors on the stock market index, which is the trend identified earlier in the Russian stock market. The present study aims to examine the impact of daily values of fundamental factors on the MOEX Russia Index from 2003 to 2018. This research is of value in macroeconomic forecasting and the investment strategy development. The analysis of the autoregressive integrated moving average model and generalized autoregressive conditional heteroskedasticity model (ARIMA-GARCH (1,1)) with a rolling window reveals that the change in the power and direction of the influence of the fundamental factors on the Russian stock market persists. The Quandt-Andrews breakpoint test and Bai-Perron test identify the likely location of structural breaks, which may be due to the dramatic falls of the stock market index. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time.

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