THE IMPACT OF MACROECONOMIC FACTORS ON THE SYSTEMATIC RISK OF THE RUSSIAN STOCK MARKET

The article is dedicated to the characteristics of systematic risk in the Russian stock market. It provides an analysis of macroeconomic factors influencing the Russian stock market, highlighting the causal relationships between economic factors and market dynamics. These factors include exchange rates, oil prices, inflation, the monetary policy of the Central Bank of Russia, the M2 money supply, and geopolitical factors. The sample of daily data covers the period from December 13, 2019, to May 6, 2024. Using the Asymmetric Generalized Autoregressive Conditional Heteroskedasticity model with Dynamic Conditional Correlation (ADCC-GARCH), dynamic beta values for the Moscow Exchange index relative to the MSCI World index, sectoral indices of the Moscow Exchange, and gold were obtained, relative to the main Moscow Exchange index. Based on the pairwise correlation of macroeconomic factors, their multicollinearity was identified, and some factors were excluded. The pairwise correlation of factors with the Moscow Exchange index revealed a positive relationship with dividend yield, industrial production index, P/E ratio of the Russian stock market, Russia's GDP, and the USD/RUB exchange rate, and a negative relationship with the three-month US Treasury yield and inflation. Based on the regression of global, country-specific, and sectoral macroeconomic factors with dependent betas for the general and sectoral indices of the Moscow Exchange and gold, an inverse relationship was found between the three-year US Treasury yield and the beta of gold, the key rate of the Central Bank with the Moscow Exchange index, and a direct relationship between the energy sector of the S&P 500 and the oil and gas index. Based on the forecast, the gold index, telecommunications index, and financials have a downward trend in their beta coefficients considering the impact of macroeconomic factors. The coefficient of variation determined the highest uncertainty in the forecast of the oil and gas index beta and the lowest uncertainty in the financial index beta.