Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series

10 Pages Posted: 11 Oct 2019

See all articles by Agata Lozinskaia

Agata Lozinskaia

National Research University Higher School of Economics

Anastasiia Saltykova

National Research University Higher School of Economics

Date Written: October 10, 2019

Abstract

This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from 2003 to 2018. The analysis of the ARIMA-GARCH (1,1) model with a rolling window reveals the changes in the power and direction of the influence of the fundamental factors which are probably caused by the structural instability revealed earlier in Russia and other stock markets. The Quandt-Andrews breakpoint test and Bai-Perron test identify the number and likely location of the structural breaks. We find multiple breaks probably associated with dramatic falls in the stock market index, for example with the significant falls of the then MICEX index in the spring of 2006 and the global financial crisis of 2008-2009. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time.

Keywords: Russian stock market, the MOEX Russian index, fundamental factors, structural breaks, long-term time series, rolling regression, breakpoint tests

JEL Classification: C22, G14, G15

Suggested Citation

Lozinskaia, Agata and Saltykova, Anastasiia, Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series (October 10, 2019). Higher School of Economics Research Paper No. WP BRP 77/FE/2019. Available at SSRN: https://ssrn.com/abstract=3467592 or http://dx.doi.org/10.2139/ssrn.3467592

Agata Lozinskaia (Contact Author)

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Anastasiia Saltykova

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

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