The Impact of U.S. Macroeconomic Announcements on the Russian Stock Market

<p>In this paper the impact of scheduled U.S. macroeconomic news announcements on the Russian stock market is studied. This decision is motivated by the central role of the U.S. in development of the world economy. Thus, major U.S. economic indicators are important for the valuation of not only US stocks, but also the stocks in other countries. To date, most studies have concentrated on mature financial markets. This paper extends this literature by examining the effects of macroeconomic data releases on the Russian stock exchange.</p><p>Understanding the effect of scheduled macroeconomic announcements on equity prices is important for testing market efficiency and for anticipating the stock market reactions. Furthermore, the information about the level of integration between financial markets is crucial for global investors for building investment strategies and diversifying portfolios of assets.</p><p>So, the aim of this study is to determine the average response of Moscow Exchange to scheduled macroeconomic announcements in the U.S. The tasks are as follows:</p><p>1) To study related literature and find what methodology is generally used;</p><p>2) To collect data;</p><p>3) To evaluate the stock market response by using an event-study approach.</p><p>The sample period begins in January 1, 2009 and ends in February 1, 2014. Event study approach was used in the research. The results are as follows. There is little evidence of Russian market responses to macroeconomic announcements. The coefficients are close to zero and R-squared does not exceed 18%. Unemployment rate and industrial production have an influence in Moscow Exchange. These findings confirm the results of Rigobon, Sack (2005) and Becker (1995) and demonstrate that news about business conditions is good for financial markets. &nbsp;When the unemployment rate is higher than the market expectations the surprise effects is found to be stronger than those when the released data is lower. The opposite is true for industrial production. These results align with those from the recent literature. Parker, Li (2005) have found that markets&rsquo; reaction to bad news is stronger than to good news. Nevertheless, the impact of news about inflation (the CPI index) seems ambiguous. &nbsp;</p>