Modelling of Dynamics of the Russian Stock Market

Student: Zlochevskaya Anastasia

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2020

During globalization it is important to know how different markets depend on each other to make investments in the financial market. The object of this study is the RTS index, and the subject is its relationship with the indices of developed and emerging markets, as well as macroeconomic variables. The period from 1996 to 2020, divided into 7 periods, was analyzed. VAR in differences and VECM (depending on the period) were used and both short-term and long-term relationships of RTS with other markets were analyzed. It was found that during the crisis period, short-term relationships between markets become weaker. At the same time, both in crises and in stable periods, developed markets have more short-term influence on RTS than developing ones. The causes of the crisis and the economic situation are compared with the interdependencies of markets for each period.

Full text (added May 13, 2020)

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