Template-Type: ReDIF-Article 1.0
Author-Name: Elizaveta V. Anufrieva
Author-Email: anufrieva@nifi.ru
Author-Workplace-Name: Financial Research Institute, Moscow 127006, Russia
Title: Influence of Macroeconomic Factors on the Return of Russian Stock Exchange Indices
Abstract: A trend toward growing influence of macroeconomics on financial markets has been observed in the last few years. Publications of statistical information relative to macroeconomy can easily affect the prices of commodities and their derivatives on financial markets. As there is little research dedicated to developing countries’ markets, the subject of this study is the Russian financial market. The goal of this analysis is to estimate whether there is an impact of macroeconomic factors on the return of indices traded at Moscow Exchange. The length of the study period is 129 months, and a total of 12 macroeconomic variables (6 of them are related to the Russian economy and 6 to the world economy) are selected to explain the return of 4 indices. The chosen method of this study is principal component analysis. It is implemented for three groups of macroeconomic factors: domestic,
foreign, and both factor groups at once. The results suggest that, indeed, there is some influence of macroeconomics on the return of indices traded at Moscow Exchange. More than 10% of all changes in return can be attributed to factors connected to the Russian economy. The explanatory power of all constructed models is also quite high.
Classification-JEL: C22, E44, G10
Keywords: Russia, MOEX index, return, PCA, Russian financial market, macroeconomic factors, dimensionality reduction
Journal: Finansovyj žhurnal — Financial Journal
Pages: 75-87
Issue: 4
Year: 2019
Month: August
DOI: 10.31107/2075-1990-2019-4-75-87
File-URL: https://www.finjournal-nifi.ru/images/FILES/Journal/Archive/2019/4/statii/fm_2019_4_06.pdf
File-Format: Application/pdf 
Handle: RePEc:fru:finjrn:190406:p:75-87