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

Anatolyev, Stanislav, A Ten-Year Retrospection of the Behavior of Russian Stock Returns (July 15, 2005). BOFIT Discussion Paper No. 9/2005, Available at SSRN: https://ssrn.com/abstract=1002912 or http://dx.doi.org/10.2139/ssrn.1002912

Stanislav Anatolyev (Contact Author)

New Economic School ( email )

Skolkovskoe shosse, 45
Moscow, 121353
Russia

CERGE-EI ( email )

P.O. Box 882
7 Politickych veznu
Prague 1, 111 21
Czech Republic

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
160
Abstract Views
798
rank
218,831
PlumX Metrics