The problem is you cannot add to the response in constructor of the controller. The Response object has not been created, so it is getting a null reference, try adding a method for adding the cookie and calling it in the action method. Like so:
private HttpCookie CreateStudentCookie()
{
HttpCookie StudentCookies = new HttpCookie("StudentCookies");
StudentCookies.Value = "hallo";
StudentCookies.Expires = DateTime.Now.AddHours(1);
return StudentCookies;
}
//some action method
Response.Cookies.Add(CreateStudentCookie());