A Ten-Year Retrospection of the Behavior of Russian Stock Returns
43 Pages Posted: 25 Jul 2007
Date Written: July 15, 2005
Abstract
We study three aspects of the Russian stock market - factors influencing stock returns, integration of the stock market with world financial markets, and market efficiency - from 1995 to present, putting emphasis on how these evolved over time. We find many highly unstable relationships, and indeed, greater instability than that generated by financial crises alone. While most computed statistics exhibit constant ups and downs, there are recently clear tendencies in the development of the Russian stock market: a sharp rise in explainability of returns, an increased role of international financial markets, and a decrease in the profitability of trading.
Keywords: Russia, transition, stock returns, integration, efficiency
JEL Classification: C22, F36, G14, G15
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Regional Integration of Stock Markets in Latin America
By Richard Heaney, Vincent J. Hooper, ...
-
Regional Integration of National Stock Markets
By Vincent J. Hooper, Richard Heaney, ...
-
Risks of Investing in the Russian Stock Market: Lessons of the First Decade
By Alexei Goriaev and Alexei Zabotkin
-
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
By Peter Christoffersen and Torsten Sløk
-
The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets
By Bernd Hayo and Ali M. Kutan
-
The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets
By Bernd Hayo and Ali M. Kutan
-
By Brian M. Lucey and Svitlana Voronkova
-
Driving Factors of Efficiency of CEE Capital Markets (Part I)
-
Driving Factors of Efficiency of CEE Capital Markets (Part II)
