The Impact of USA Macroeconomic News Shocks on USA and Russian Stock Market

Abstract 

News is sure to affect market trends, but their impact is often contradictory. Market reaction depends on many factors:  good or bad news, current market condition (growth, crisis or flat), previous forecasts, etc. However, the same news  can be both good and bad, e.g. market response to NFP data in the early 2010s. This article explores the relationship between the yields on both the Russian and the US stock indexes and shocks of  the US statistics. The application of econometric tools has made it possible to identify the US statistical indicators  which have the greatest impact on the movement of stock indices in these countries. At the same time, the study shows  that the links between the changes in the US statistics, RTS and S&P500 indices seem to be rather useful for the development and implementation of trading strategies. The results of testing the model in the period 2011–2017 have proved that the market reaction to news shocks tends to change over time due to the  human element. Besides,  an asymmetry in reaction was revealed: during the periods of declines it is more sensitive to positive shocks, whereas  in the periods of growth – to negative shocks. 

Keywords 
stock index, return, effective market hypothesis, shock of statistics 



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