Influence of macroeconomic factors on the large Russian companies’ stock return in crises
Abstract
Our investigation is devoted to the analysis of macroeconomic factors influence on a stock return of the 23 large Russian companies of the Moscow stock exchange index in 2008–2021. The crisis periods of the investigation are as follows: 2008–2009, 2014–2015, and 2020–2021. Choosing the factors that could influence the stock return we took into consideration some peculiarities of the Russian economy and those crises. As method of study the panel regression in econometrics was used. Empirical estimates were obtained for the companies from the monthly statistical data for the three crisis periods from August 2008 to March 2021. Based on the results we can conclude that the nature of the crises reflected the factors which were significant in each period. The most important factor turned out the central bank influence whose basic interest rate influenced the stock return in all the periods under consideration. Moreover, some other factors were significant in different periods. They are as follows: Brent oil price, exchange rate, the American stock exchange index, and money supply. In pandemic time 2020–2021, one of the significant factors was the world uncertainty index.
About the Authors
S. V. Bekareva
Novosibirsk National Research State University
Russian Federation
Russian Federation
PhD in Economics, Associate Professor
V. M. Fomina
Novosibirsk National Research State University
Russian Federation
Russian Federation
Student
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Review
For citations:
Bekareva S.V., Fomina V.M. Influence of macroeconomic factors on the large Russian companies’ stock return in crises. Kazan economic vestnik. 2022;(3):56-62. (In Russ.)
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