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
Date Written: November 15, 2011
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: Suggested Citation