A Comparison of Stock Market Performance of Large-Scale corporations in the wake of Covid-19: A Study of Russian Stock Market
Ryzhinskii, Daniil (2022)
Ryzhinskii, Daniil
2022
All rights reserved. This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:amk-2022120125726
https://urn.fi/URN:NBN:fi:amk-2022120125726
Tiivistelmä
Oil production takes a significant share of Russian GDP, hence, may represent the oil production dependency to its economy and stock market. For the past decade, Russian oil production volumes were growing. However, the literature was lacking the solid justification of Russian oil production dependency and its aftermaths to Russian stock market. During the first quarter of 2020 rapid coronavirus pandemic development simultaneously developed with the oil price war between two significant suppliers on international oil market, Russia, and Saudi Arabia. The following events could exacerbate the development of Russian stock market. This thesis is aimed to elaborate the relative influence of several stock performance approximates, including oil and Covid-19, and compare their impact to the one during pre-Covid-19 period.
For the current research was gathered the stock market data of 6 Russian large-scale corporations during the pre-Covid-19 period (2018-2019) and during ongoing Covid-19 crisis period (2020-2021). Each corporation represents the leading entity in their operating sector. For each stock were calculated five stock performance indicators such as Return, Risk, Beta, Expected Return and Cumulative Abnormal Return. In the current study, these stock performance indicators are utilized as dependent variables. For the sample of independent variables were chosen oil international market prices, Covid-19 derived proxies, Russian Ruble-USD exchange rate price and Moscow Stock Exchange index (MOEX) price. The research is implemented by utilizing Multivariate Linear Regression as initial analytical model. In addition, the study applies Principal Component Analysis for the Robustness Check purposes. The study found that Covid-19 both favorably and unfavorably affects stock performance of Russian large-scale corporations. Oil market prices support and diminish stock performance during both pre-Covid-19 and ongoing Covid-19 periods. Similarly, the Moscow Stock Exchange also favorably and unfavorably determines stock performance during pre-Covid-19 period. However, during the ongoing pandemic period dependent variables are affected only favorably by Moscow Stock Exchange index. The Ruble-USD exchange rate appreciation also does both supportively and adversely determines stock performance during pre-Covid-19 period. During ongoing pandemic period, the exchange rate lost its power to impact the dependent variables. Oil market prices more extensively impacted dependent variables in comparison to Covid-19 approximates. The study becomes the pioneer to recognize Covid-19 supportive effect on stock market performance.
For the current research was gathered the stock market data of 6 Russian large-scale corporations during the pre-Covid-19 period (2018-2019) and during ongoing Covid-19 crisis period (2020-2021). Each corporation represents the leading entity in their operating sector. For each stock were calculated five stock performance indicators such as Return, Risk, Beta, Expected Return and Cumulative Abnormal Return. In the current study, these stock performance indicators are utilized as dependent variables. For the sample of independent variables were chosen oil international market prices, Covid-19 derived proxies, Russian Ruble-USD exchange rate price and Moscow Stock Exchange index (MOEX) price. The research is implemented by utilizing Multivariate Linear Regression as initial analytical model. In addition, the study applies Principal Component Analysis for the Robustness Check purposes. The study found that Covid-19 both favorably and unfavorably affects stock performance of Russian large-scale corporations. Oil market prices support and diminish stock performance during both pre-Covid-19 and ongoing Covid-19 periods. Similarly, the Moscow Stock Exchange also favorably and unfavorably determines stock performance during pre-Covid-19 period. However, during the ongoing pandemic period dependent variables are affected only favorably by Moscow Stock Exchange index. The Ruble-USD exchange rate appreciation also does both supportively and adversely determines stock performance during pre-Covid-19 period. During ongoing pandemic period, the exchange rate lost its power to impact the dependent variables. Oil market prices more extensively impacted dependent variables in comparison to Covid-19 approximates. The study becomes the pioneer to recognize Covid-19 supportive effect on stock market performance.