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Factors Affecting Stock Prices of Russian Companies

Student: Daria Bulantseva

Supervisor: Alexandra Galanova

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2021

The main purpose of this research is to investigate the impact of a scope of financial and macroeconomic factors on the performance of stocks traded via Moscow Stock Exchange. Sample data included observations for 27 Russian companies ordinary share prices, financial ratios and macroeconomic variables from 01.01.2015 until 31.12.2019. The data was obtained from Bloomberg database and Investing.com. To examine how the chosen factors affect stock returns, decision trees, logistic regression and a recently proposed cascade of a logistic regression and gradient boosted decision trees (LR2GBDT) were fitted to predict if the yield on holding each stock for 3, 15 and 30 days will be positive or negative. The major finding of this study is the evidence of the existence of non linear connections between factors, which does not allow to interpret the impact a particular factor has on stock returns as unambiguously positive or negative. The impact the corresponding factor has on stock returns can only be examined when the values of other proposed factors are taken into account, as the considered impact may change depending on the values of that factors. Both macroeconomic variables and financial ratios are proven to have predictive power over the performance of stocks of Russian companies, dividend yields are shown to be especially important for Finance, Chemistry and Trade, while MSCI Emerging markets index is proven to be crucial for each of 8 considered branches. There was no tendency for the quality of predictions to increase with the length of holding period, in contrast to the results of the studies conducted on American equity market data.

Full text (added April 24, 2021)

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