• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
For visually-impairedFor visually-impairedUser profile (HSE staff only)Search
Advanced search
Menu
HSE University

Impact of News on the Russian Stock Market

Student: Kuranov Vitaly

Supervisor:

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

This study analyzed the impact of positive and negative news on the returns and volatility of MOEX and industry indices in two different periods: before COVID-19 and during COVID-19. 36 regressions were constructed using GARCH (1,1) and EGARCH (1,1). This work is important because it contributes to a fairly new topic about the influence of COVID-19 on the stock market. It was proposed to check several hypotheses such as: how stock returns and volatility reacted to positive and negative news in both periods; which type of news had the most impact on indices in terms of return and volatility; how indices' reactions to the news were changed after the start of the COVID-19 pandemic. The results obtained may be of interest for further research. For example, it was found that negative shocks reduced their impact on stock volatility during COVID-19. Other meaningful conclusions will be revealed in this paper as well.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses