Factors Affecting Stock Price Dynamics

Metallurgical industry is a basic sector of the Russian economy and it is one of the industries under the world emissions trading system. Steel scrap is an important raw material in the steel making industry. This study examines factors affecting the dynamics of stock prices of mining and metallurgy companies in the Russian market. The object of research is a number of Russian metallurgy companies which are traded on the Moscow Exchange (MOEX). The empirical analyses suggest that macro, micro and industrial factors are informative in explaining the future stock market performance in Russia. The sample consists of 15 companies in the Russian market related to metallurgical sector of the economy. The general research methodology is the construction and evaluation of simple and complex regression models based on panel data. Multifactor market models are used to analyze the effect of any possible variable on stock market returns, among others. The most significant factors and indicators, which describe this dependence in Russian market are still unknown, and this work is a step to its discovery.