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Impact of Political News: Evidence from Russia

Author

Listed:
  • Volodin Sergey Nikolayevich

    (Department of Finance, Faculty of Economic Sciences, National Research University Higher School of Economics, Russian Federation)

  • Kuranov Gennadii Mladenovich

    (Faculty of Economic Sciences, National Research University Higher School of Economics, Russian Federation)

  • Yakubov Alexey Pavlovich

    (Laboratory of Financial Markets Analysis, Faculty of Economic Sciences, National Research University Higher School of Economics, Russian Federation)

Abstract

In recent times political events started to exert more and more significant impact on national financial systems due to sharpening of political problems in various countries. Undoubtedly, their influence can be followed in price dynamics of stocks which are trading in the securities market. The need to understand political news impact on the market as a whole and its separate industries is faced by investors and market agents for proper orientation in market environment. Since this issue provides rather controversial results in different studies, the authors set the aim to investigate the Russian market with the use of GARCH models. Such approach allowed determining precisely the political events’ influence on return and volatility of market assets as well as leverage and clusterization effects. The obtained results may be beneficial for investors, operating in the Russian stock market, other market agents and specialists in the field of financial science.

Suggested Citation

  • Volodin Sergey Nikolayevich & Kuranov Gennadii Mladenovich & Yakubov Alexey Pavlovich, 2017. "Impact of Political News: Evidence from Russia," Scientific Annals of Economics and Business, Sciendo, vol. 64(3), pages 271-287, October.
    • Handle: RePEc:vrs:aicuec:v:64:y:2017:i:3:p:271-287:n:1
    DOI: 10.1515/saeb-2017-0018
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    Keywords

    stock market; impact of political events; stock price dynamics; investment strategies;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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