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Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies

HANDBOOK OF SHORT SELLING, pp. 387-400, Elsevier, 2012

Posted: 16 Nov 2011  

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Alexander Kudrov

National Research University Higher School of Economics

Andrew Zlotnik

affiliation not provided to SSRN

Elena Dukhovnaya

affiliation not provided to SSRN

Date Written: November 15, 2011

Abstract

The main regulations of short selling in Russian stock markets are presented, and the importance of short selling practices is examined by comparing different asset allocation strategies. A new methodology based on the positive and negative potential for the price (or return) on the next day is presented, and its benefits are shown in an empirical exercise. The empirical analysis considers a list of shares traded on the Russian MICEX and RTS markets, including stocks allowed for short selling in the fourth quarter of 2010. Finally, the superiority of short selling-based strategies is highlighted.

Keywords: Extreme events frequency, Federal Financial Markets Service, Generalized Pareto distribution, Kurtosis, Long–short trading strategy, Maximum annual drawdown, Sharpe ratio, Skewness, Volatility

JEL Classification: G11, G12, G24, G28

Suggested Citation

Fantazzini, Dean and Kudrov, Alexander and Zlotnik, Andrew and Dukhovnaya, Elena, Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies (November 15, 2011). HANDBOOK OF SHORT SELLING, pp. 387-400, Elsevier, 2012. Available at SSRN: https://ssrn.com/abstract=1960102

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Alexander Kudrov

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Andrew Zlotnik

affiliation not provided to SSRN

Elena Dukhovnaya

affiliation not provided to SSRN ( email )

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