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THE IMPACT OF MACROECONOMIC FACTORS ON THE DEVELOPMENT OF THE RUSSIAN STOCK MARKET

E. Darda, E. Klochkova, N. Sadovnikova, E. Ustinov

Abstract

Trends in the Russian stock market are influenced by various internal and external factors, including economic, social, climatic, etc. Among the internal factors usually distinguished: the state of the national economy, industrial production, unemployment, high-volume issuance of government debt securities, increased the total volume of the issue of securities, payments crisis, the national currency exchange rate, trade balance, the size of the key rate, etc. By the significant external factors affecting the formation of the trends on a national securities market include the long cycles of the world economy, the state of the world oil market, the various geopolitical trends. Often the effect of the above factors has a diverse character. The article describes the features of the statistical evaluation of the degree of influence of factors on the level of the main indicator of the Russian stock market - MICEX index. The methodological basis of the research were correlation and regression analysis, factor analysis. Methodological approaches to the construction of models of the dynamics of the relationship of the test indicator on the dynamics of macroeconomic factors, which are based on the principles of analysis of connected time series and regression analysis. The ways of the formation of the integrated factors based on principal component analysis that allowed us to obtain a generalized model of the stock MICEX index.

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DOI resolver: doi.org/10.5593/SGEMSOCIAL2017/HB11/S03.096

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