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.
Highlights
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 results suggest that, there is some influence of macroeconomics on the return of indices traded at Moscow Exchange
Summary
При помощи метода главных компонент на горизонте 129 месяцев производится анализ влияния 12 макроэкономических показателей (шести, связанных с российской экономической статистикой, и шести — с мировой экономикой) на формирование доходности четырех индексов МосБиржи. В. Влияние макроэкономических показателей на доходность индексов российской фондовой биржи // Финансовый журнал. Результаты исследования показали, что часть макроэкономических переменных (экспорт, инфляция, доходность трех годовых немецких бондов, денежная масса) имеет непосредственное влияние на формирование доходности индекса как в кризисный период, так и вне кризиса.
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