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Robert Shiller’s Approach to Analysis of Financial Markets

Robert Shiller’s Approach to Analysis of Financial Markets

Journal of Economic Regulation, , Vol. 10 (no. 1),

The main problem of this research is study of the price fluctuations at stock exchanges. The chosen theme is quite relevant for our time. More and more our society meets phenomenon of “stock bubbles”, which often cause deplorable condition of different countries’ economy. Therefore understanding true reasons and factors of the such fluctuations is very important, as the effectiveness of the activity either at micro- or macrolevel depends on it. In this paper separate firm will not be considered. In terms of works of Robert Shiller it is made an analysis of the aggregate stock exchange there, in particular Moscow Stock Exchange, represented by MOEX Index and its modification, which reflect the activity of the Russian companies. The major target of current research is to identify exist or absence of connecting between the variation of the aggregate profit of all the Russian companies and the return of the index portfolio of Russia, represented by MOEX index of total return with application of R. Shiller’s approach. Mainly for reaching this target it was used econometric techniques, particularly there were tools of processing time series (their decomposition: deriving trend, cycle and residual components). Then it was realized correlation and regression analysis. As a result, it was received the regression model. With help of it we made some conclusions with fundamental and practical meaning. It was shown, that the current profit is a significant factor and catalysator of the future fluctuations of the Russian stock exchange’s returns.

Keywords: stock exchange; profit; index portfolio return; regression model; MOEX Index of total return

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