The Impact of Macroeconomic Factors on the Dynamics of Russian Stock Prices

Student: Shell` Yuliya

Educational Programme: Economic Analysis (Master)

Year of Graduation: 2024

This study is devoted to the building of an econometric model in which not only stock market factors, but also macroeconomic indicators are considered as factors of profitability of the Russian securities market. The results show that inflation, U.S. stock index S&P500 and the price of oil influence Russian stock’s profitability. A separate section of the study shows the presence of a structural shift in the dynamics of profitability and volatility of the Russian stock market in February 2022, which is probably associated with the introduction of sanctions and changes in the monetary policy of the Bank of Russia.

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