Home  Journals  Economic Analysis: Theory and Practice  3(168) - 2010 January

Factors, which influence a change in the index [RTS] of Russian stock market

Available online: 26 January 2010

Subject Heading: Forecasting and planning

JEL Classification: 

In this article, the authors develop a model which makes it possible to estimate the influence of different external and internal factors on volatility of the stock market for the Russian Federation. The model of the factors that determine volatility changes in the stock market index is a probit-model. As anticipated, a wide range of indicators covering internal and external factors are considered. Our results identify the most significant factors influencing stock market returns are investment by firms in physical capital, basic capital; the level of monetary of the economy; the balance of trade; world prices of oil and others.

Keywords: volatility, share, index, the market, financial, capitalisation, probit-model

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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