Fundamental factors affecting the MOEX Russia Index: retrospective analysis

P. 32–45.

Lozinskaia A. M., Saltykova A.

This paper is an empirical study of the changing nature of the dependence of fundamental factors on the stock 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 fundamental 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 dramatic 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 investment strategy development

Keywords: Russian stock market, rolling regression, structural instability, structural breaks, fundamental factors, breakpoint tests

In book

Proceedings of the Fifth International Workshop on Experimental Economics and Machine Learning (EEML 2019),Perm, Russia, September 26, 2019

Vol. 2479. , CEUR Workshop Proceedings, 2019.