Forecast of stock quotations of Sberbank PJSC using correlation and regression analysis

About the author:

Lyudmila I. Tenkovskaya, Cand. Sci. (Econ), Associate Professor, Stock Market Analyst, Moscow Exchange MICEX-RTS, Moscow, Russia, tenkovskaya.lyudmila@gmail.com; https://orcid.org/0000-0002-2055-1497

Abstract:

The scientific research, which consists in making a forecast regarding the stock quotes of Sberbank PJSC, is relevant because it reveals the prospects of the Russian financial sector. It allows investors to form a trading strategy for buying ordinary shares of Sberbank PJSC to generate income in the future. The purpose of the scientific article is to build an economic and mathematical model for forecasting quotations of ordinary shares of Sberbank PJSC. To achieve this goal, the theoretical foundations of the formation of monetary policy in Russia, the exchange rate of the Russian ruble, oil prices on the world market have been studied. The degree of influence of the above factors on the quotations of ordinary shares of Sberbank PJSC has been established. In the process of work, general and special scientific methods are involved: analysis, synthesis, monographic, statistical. The scientific novelty of the study consists in the construction of multiple and paired linear regression equations reflecting the dependence of quotations of ordinary shares of Sberbank PJSC on the M2 monetary aggregate in Russia, the key rate of the Central Bank of the Russian Federation, the USD/RUB currency pair, and Brent crude oil prices. Based on the equation of paired linear regression containing data on the M2 monetary aggregate in Russia, a forecast was made for the value of ordinary shares of Sberbank PJSC. In comparison with the trend of increasing money supply in Russia, ordinary shares of Sberbank PJSC look undervalued and attractive for investment.

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