The Interdependency of the Russian Security Market and the Macroeconomic Indicators and International Market Indexes

Zhukov P. () and Isaakyan O. ()
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Zhukov P.: Budget and Treasury Academy of the Ministry of Finance of the Russian Federation
Isaakyan O.: Budget and Treasury Academy of the Ministry of Finance of the Russian Federation

Finansovyj žhurnal — Financial Journal, 2010, issue 2, 39-50

Abstract: The article authors present the findings of the multi-factor analysis made of the Russian securities market. The aim of the analysis performed is to determine whether the changes in the RTS index, the changes in the main indicators of the Russian social and economic development and the changes in the world financial system indicators are interdependent. The findings of the correlative analysis made of the data that was collected within the period of 2005-2009 demonstrated that there was a persistent interdependency between the state of the Russian stock market and the Russian macroeconomic development indicators and between the indicators found on the financial markets of various countries. The article authors determine what the time lags are where the indicators’ maximal value is observed.

Keywords: stock market; financial market volatility; financial market efficiency; international stock indexes; Russian macroeconomic indicators; measures taken to cope with the crisis (search for similar items in EconPapers)
Date: 2010
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