The Impact Of Macroeconomic Variables On The Stock Markets Of Emerging Economies

Since the emergence of stock exchange market,scholars from all over the world try to explore factors driving the stock indexes.Although many research work agrees on the fact that stock exchange markets become more and more efficient and their performance depend on macroeconomic factors,which factors do matter is still uncertain.Moreover,the influence of macro factors varies across countries and time intervals.In addition,together with the latest globalization tendency,the standard domestic macroeconomic variables are no longer the only determinants of the stock exchange development.Now the international factors play the same or even more fundamental role,especially for emerging markets that are still developing in an open-economy environment and often vulnerable to international shocks.Taking into consideration this new tendency,we conduct a research on the correlation between both domestic and international macroeconomic variables and the Russian stock exchange index,which has not been intensively studied in the international literature.We focus on the specific set of macroeconomic variables that would be applicable for the Russian economy.We use the autoregressive distributed lag(ARDL)model for the empirical study with 12 regression analyses on three samples and four versions of data treatment and reveal several significant findings.We find that the influence of international factor such as the Brent oil price is the dominant and most consistent explanatory variable.Taking into consideration that almost fifty percent of the RTS stock belong to oil and gas sector,this is not surprising.At the same time,some domestic factors are also proved to have significance.However,their influential power is not stable and varies across samples.For instance,long term interest rate was the main domestic explanatory variable for the period before the 2008 global economic crisis.Nevertheless,it is proved to be inefficient for the post crisis period.On the contrary,exchange rate and monetary aggregate became more important for the stock exchange in the post crisis period,which is generally consistent with the Russian Central Bank's new monetary and exchange rate policies.