Subject. The article discusses the impact of various factors on a growth in prices for the Russian companies' stocks. Objectives. The research identifies factors that influence prices for the Russian companies' stocks and evaluates their significance. We also specify the regression model of growth in prices for stocks, illustrating the case of PAO Uralkali, evaluate its parameters and test the quality of the model. The article also provides my interpretation of the findings. Methods. The methodological framework is based on graphic, correlation-regression analysis. Building the regression, we applied the least squares method with the correction of standard errors for robustness. To eliminate the residual autocorrelation, we conducted the Cochrane–Orcutt procedure and Prais–Winsten estimation. Results. We identified a set of related factors that influence the price for the analyzable company's stocks. Using various methods, we build four alternative models that feature the production of mineral fertilizers as a common factor triggering a growth in prices for shares of respective companies. The highest quality was found in the model based on the autoregressive modification with the Prais–Winsten estimation. Conclusions. Volume of commercial cargo shipments, export of goods and services were found to have the greatest effect on prices for stocks of an analyzable issuer, in addition to the production of mineral fertilizers. The findings can be used to forecast foreign exchange rates of a certain company.
Balashova S.A. [Dynamics оf risk factors оf the Russian stock market]. Audit i finansovyi analiz = Audit and Financial Analysis,2010, no. 5, pp. 225–231. URL: Link (In Russ.)
Egorova N.E., Torzhevskii K.A. [Fundamental directions and conceptions of analysis markets of stocks]. Audit i finansovyi analiz = Audit and Financial Analysis, 2008, no. 6, pp. 168–171. URL: Link (In Russ.)
Graham B., Dodd D. Analiz tsennykh bumag [Security Analysis]. Moscow, Vil'yams Publ., 2016, 880 p.
DeMark T.R. Tekhnicheskii analiz – novaya nauka [The New Science of Technical Analysis]. Moscow, Evro Publ., 2008, 288 p.
Nison S. Yaponskie svechi. Graficheskii analiz finansovykh rynkov [Japanese Candlestick Charting Techniques]. Moscow, Al'pina Pablisher Publ., 2016, 296 p.
Kudryashov A.A. [Improving technical analysis definition in the situation of developing the methods of the technical analysis of currency market]. Vestnik Samarskogo gosudarstvennogo ekonomicheskogo universiteta = Vestnik of Samara State University of Economics,2009, no. 11, pp. 64–68. URL: Link (In Russ.)
Volodin S.N., Golovchenko A.E. [Application of technical analysis in different market situations]. Audit i finansovyi analiz = Audit and Financial Analysis, 2014, no. 5, pp. 99–105. URL: Link
Gus'kova N.D., Rusyaev Ya.V. [Portfolio management based on fundamental analysis of stock market]. Finansy i kredit = Finance and Credit,2013, vol. 19, iss. 8, pp. 14–23. URL: Link (In Russ.)
Kozlova A.S., Taraskin D.S. [Methodology for forming securities portfolio based on risk, yield and fair value of the company]. Vestnik Saratovskogo gosudarstvennogo sotsial'no-ekonomicheskogo universiteta = Vestnik of Saratov State Socio-Economic University, 2018, no. 1, pp. 104–109. URL: Link (In Russ.)
Gal'perin M.A., Teplova T.V. [Dividend investing strategies in the Russian stock market: "Dogs of the Dow" and portfolios filtered by fundamental factors]. Ekonomicheskii zhurnal Vysshei shkoly ekonomiki = HSE Economic Journal, 2012, vol. 16, iss. 2, pp. 205–241. URL: Link (In Russ.)
Yakimkin V.N. [Cluster statistical analysis of markets]. Finansovaya analitika: problemy i resheniya = Financial Analytics: Science and Experience, 2008, vol. 1, iss. 7, pp. 28–35. URL: Link (In Russ.)
Tsaregorodtsev A.V., Kovalev A.A. [Financial markets' indicators dynamics research]. Audit i finansovyi analiz = Audit and Financial Analysis, 2009, no. 1, pp. 242–245. URL: Link (In Russ.)
Ishkhanyan M., Kalinina K. [Econometric analysis of the dependence dynamics of the shares of Russian companies with the dollar]. Transportnoe delo Rossii = Transport Business in Russia, 2015, no. 3, pp. 20–23. URL: Link (In Russ.)
Borovikov D.D., Shnyukova E.A. [Forecasting market value stocks of MMC "Norilsk nickel" using the linear model of correlation-regression analysis]. Aktual'nye problemy aviatsii i kosmonavtiki = Topical Problems of Aviation and Aeronautics, 2015, no. 11, pp. 205–207. URL: Link (In Russ.)
Fedorova E.A., Pankratov K.A. [Influence of macroeconomic factors on the Russian stock market]. Problemy prognozirovaniya = Studies on Russian Economic Development,2010, no. 2, pp. 78–83. URL: Link (In Russ.)
Sergeev V.A. [Studying the relationship between stock index trends and key macroeconomic indicators in oil producing countries]. Audit i finansovyi analiz = Audit and Financial Analysis, 2017, no. 5-6, pp. 154–160. (In Russ.)
Nikonorov A.E. [The efficiency of applying MICEX and RTS indices in the correlation analysis with foreign indices under the Pearson method]. Finansy i kredit = Finance and Credit, 2014, vol. 20, iss. 37, pp. 60–65. URL: Link (In Russ.)
Fedorova E.A., Buzlov D.A. [Forecasting of stock market of the Russian Federation by means of GARCH modeling]. Finansovaya analitika: problemy i resheniya = Financial Analytics: Science and Experience, 2013, vol. 6, iss. 16, pp. 2–9. URL: Link (In Russ.)
Domashchenko D.V., Nikulin E.E. [Forecasting time series of the market indicators based on a nonlinear autoregressive neural network]. Statistika i ekonomika = Statistics and Economics, 2017, vol. 14, no. 3, pp. 4–9. (In Russ.) URL: Link
Borochkin A.A. [Macroeconomic determinants of the currency and stock market shocks: A panel VAR approach]. Finansy i kredit = Finance and Credit, 2017, vol. 23, iss. 15, pp. 882–899. (In Russ.) URL: Link
Malkina M.Yu., Yakovleva E.K. [Analysis of the influence of macroeconomic and industrial factors on companies' stock price]. Finansy i kredit = Finance and Credit, 2016, vol. 22, iss. 44, pp. 33–47. URL: Link (In Russ.)