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Economic Analysis: Theory and Practice

Macroeconomic factors affecting the movement of Russian stock market indices

Vol. 18, Iss. 12, DECEMBER 2019

Received: 21 November 2019

Received in revised form: 28 November 2019

Accepted: 6 December 2019

Available online: 25 December 2019


JEL Classification: E44

Pages: 2255–2271


Malkina M.Yu. National Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation


Ovchinnikov V.N. Financial Research Institute of Ministry of Finance of Russian Federation, Moscow, Russian Federation

ORCID id: not available

Subject We consider macroeconomic factors influencing the trends in domestic stock indices.
Objectives The aim is to identify relationships between Russian stock indices and a number of macroeconomic factors, like oil price, exchange rate of U.S. dollar to Russian ruble, the rate of the Moscow InterBank Actual Credit Rate (MIACR), and the S&P 500 index in 2000–2019.
Methods We employ general scientific methods of research.
Results For modeling the relationships between the studied variables, we selected three time intervals with relatively stable dynamics. Building the vector error correction models, autoregressive distributed lag models and autoregressive models with a recourse vector helped answer the question about the existence of long-term and short-term links between the analyzed time series.
Conclusions The study confirms the long-term (positive) co-integration of oil prices and Russian stock indices over the entire time horizon considered. We revealed negative cointegration of domestic stock indices with actual lending rates in the economy before and after the 2008 crisis. It underlines the importance of ‘cheap’ money for expanded production of Russian companies. The convergence of Russian indices with S&P 500 appeared only during the first years after the 2008 crisis. Then the trends of the domestic and world economy diverged to some extent. We also found the increasing rate of approaching the long-term equilibrium by Russian stock markets in both post-crisis periods. This is explained by a shift in attitude of stock market players.

Keywords: stock market, stock index, Russian Trading System Stock Exchange, Moscow Exchange, macroeconomic factor


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