Influence of macroeconomic factors on the Russian stock market |
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Authors: | E A Fedorova K A Pankratov |
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Institution: | (1) Department of International Business, National Kaohsiung University of Applied Sciences, Kaohsiung 807, Taiwan |
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Abstract: | The article highlights approaches to estimating external factors having an impact on development of the Russian stock market.
It contains different standpoints of international and domestic authors on this subject. The authors have tested the econometric
EGARCH model in the article in order to evaluate the impact of various factors on the domestic stock market. The factors analyzed
include the gross domestic product (GDP), US dollar exchange rate, euro/dollar ratio, net capital movement, and Brent oil
free market price. The results of analysis show the heavy reliance of the dynamics of the Russian MICEX stock exchange index
primarily on the oil price and US dollar exchange rate. |
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Keywords: | |
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