Econometric assessment of the impact of macroeconomic phenomena on the Russian stock market

The article examines the impact of macroeconomic phenomena on the Russian stock market. The following research methods are used: analytical methods for collecting and processing information, correlation analysis, construction of a predictive model of paired linear regression by the least squares method, econometric methods for evaluating the quality of the predictive model. The purposes of this study are to conduct an econometric analysis and assess the impact of macroeconomic phenomena on the Russian stock market. A general description of shares as a type of securities is given. The trends of the Russian stock market in the period 2017–2024 are analysed. The macroeconomic phenomena capable of influencing the dynamics of the market have been identified, and macroeconomic indicators have been specified to quantify the impact. A correlation analysis of the data is carried out, and a predictive econometric model is constructed. It is concluded that econometric forecasting models can be statistically significant, but their practical use for predicting trends in the stock market in the medium and even long-term perspective is unlikely, since in the conditions of instability of the modern Russian economy, new economic, social, news, and psychological factors arise that are not taken into account when constructing the model.