The Impact of Macroeconomic Indicators on Russian Companies During the Pandemic

Aim of the research: At the moment, there are many studies that examine the effect of COVID-19 on the financial system of a country or a number of countries concerning the general macroeconomic situation or the securities markets, which reflect state of the companies from various industries. This study focuses on identifying the impact of the coronavirus on macroeconomic indicators, which, in turn, have a certain impact on the prices of shares of Russian companies. Methods of the research: 23 Russian companies from 8 different industries were selected as data for the analysis. There are two main criteria by which companies were selected: the publicity of the company, at least since 2012, in order to have access to data in the form of ratios and stock prices for the entire time horizon, as well as the size of the company. In addition, the main macroeconomic indicators were selected that most accurately reflect the macroeconomic situation in the country. The time horizon starts in 2012 and ends in 2020, the time interval between observations is equal to one quarter. Panel data is used for the analysis as the performance of various companies as well as macroeconomic indicators is observed throughout some period of time. To reflect the impact of the coronavirus effect on the economy, a factor variable was introduced, which can take values from 0 to 3 for each quarter, depending on news and events related to COVID-19. The effect of this variable is considered in the regression both as an intercept and as a slope of the curve when a factor variable was combined with a significant macroeconomic indicator. The natural logarithm of the share price of each of the 23 companies was the dependent variable In order to eliminate various kinds of effects which may have negative impact on the estimation of the regression, tests for autocorrelation, heteroscedasticity, unit root and others were carried out, as well as various versions of the model, both with a fixed effect and with a random one, were tested. Results of the research: Most of the macroeconomic indicators and financial ratios showed high significance in relation to the natural logarithm of stock prices. COVID-19 has a negative impact on stock prices of Russian companies, both as a separate effect (intercept) and in combination with macroeconomic indicators (slope).