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Fundamental Factors Affecting the MOEX Russia Index: Retrospective Analysis

Lozinskaia, Agata and Saltykova, Anastasiia (2019): Fundamental Factors Affecting the MOEX Russia Index: Retrospective Analysis. Published in: CEUR Workshop Proceedings , Vol. 2479, (26 September 2019): pp. 32-45.

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This paper is an empirical study of the changing nature of the de-pendence of fundamental factors on thestock market index, which is the trend identified earlier in the Russian stock market. We empirically test the impact of daily values of fundamental factors on the MOEX Russia Index from 2003 to 2018. The analysis of the ARIMA-GARCH (1,1) model with a rolling window reveals that the change in the power and direction of the influence of the fun-damental factors on the Russian stock market persists. The Quandt-Andrews breakpoint test and Bai-Perron test identify the number and likely location of structural breaks. We find multiple breaks probably associated with the dra-matic falls of the stock market index. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time. This research is of value in macroeconomic forecasting and in the invest-ment strategy development.

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