The impact of economic sanctions on equity returns of Russian companies

Published: 6 May 2020| Version 1 | DOI: 10.17632/b7ntc762cv.1
Arkady Abramov


This data is required for Event Study Analysis. First of al, in order to calculate cumulative abnormal return (CAR) the real returns should be adjusted for "normal" returns. Russian economy is highly dependent to oil & gas prices, thus in this study "normal" returns are correlated with Brent price (CAPM model was used). That is why the data for my research should be consisted of stock prices of Russian public companies from 2011 to 2019, MOEX Russia Index as a measure of market index (2011-2019), Brent price dynamics (2011-2019) and Russian Government Bond Zero Coupon Yield (2011-2019) as a measure of rsik-free rate