Assessment of the Influence of External Macroeconomic Indicators on the Dynamics of the RTS Index and MOEX Russia Index

This paper considers the impact of global macroeconomic indicators on the Russian stock market. The purpose of this study is to determine how macroeconomic factors affect the stock market in Russia. To achieve this goal, the study provides an econometric analysis that allows to determine the relationship between macroeconomic variables and indices of the Russian stock market: RTS and Moscow Exchange using daily data for the period 2009-2019. The following macroeconomic factors were chosen as independent variables: S & P500, Dow Jones Industrial Average, German Stock Exchange Index, British Stock Exchange Index, Gold Price and Oil Price. The relationship between stock market returns and macroeconomic variables has been studied by many researchers, but At present, there are much fewer studies on this topic in Russia than in other countries. We used cointegration analysis, as well as a multidimensional model of autoregression with conditional heteroskedasticity, namely: the GARCH model with constant conditional correlation and the GARCH model with dynamic conditional correlation to analyze the effect of the flow of returns between factors. The advantage of this work is a comparative analysis of the impact of macroeconomic indicators on 2 indices of the Russian stock exchange. The results show that between the Russian stock market there are stable long-term relations with world markets (America and Europe) and the oil market. It was also revealed that the RTS index, in contrast to the Moscow Exchange, is more influenced by indices of foreign countries. The low interconnection of the Russian market with the gold market indicates the advantages of diversifying the portfolio by including securities of gold mining companies in it.