ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET
The hypothesis of market efficiency is one of the key ideas of today’s theory of finance. The article analyzes the daily profitability of MICEX index from 2012 to 2017 by testing casual roaming in order to find out whether Russian stock exchange is a weak - efficient form. The empiric testing of the...
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Plekhanov Russian University of Economics
2018
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| Acceso en línea: | https://doaj.org/article/854bd271144d4122906fe82637224ba6 |
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oai:doaj.org-article:854bd271144d4122906fe82637224ba62021-11-15T05:20:46ZANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET2413-28292587-925110.21686/2413-2829-2017-6-90-95https://doaj.org/article/854bd271144d4122906fe82637224ba62018-01-01T00:00:00Zhttps://vest.rea.ru/jour/article/view/409https://doaj.org/toc/2413-2829https://doaj.org/toc/2587-9251The hypothesis of market efficiency is one of the key ideas of today’s theory of finance. The article analyzes the daily profitability of MICEX index from 2012 to 2017 by testing casual roaming in order to find out whether Russian stock exchange is a weak - efficient form. The empiric testing of the weak form of market efficiency is conducted through the extended Diki – Fuller test. As a result it was found out that Russian stock exchange is not at the level of weak-form efficiency. The author puts forward recommendations aimed at making stock exchange in Russia more efficient.Shadi OmranPlekhanov Russian University of Economicsarticlestock exchangeefficiencycasual roamingextended diki – fuller testEconomics as a scienceHB71-74RUВестник Российского экономического университета имени Г. В. Плеханова, Vol 0, Iss 6, Pp 90-95 (2018) |
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DOAJ |
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DOAJ |
| language |
RU |
| topic |
stock exchange efficiency casual roaming extended diki – fuller test Economics as a science HB71-74 |
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stock exchange efficiency casual roaming extended diki – fuller test Economics as a science HB71-74 Shadi Omran ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET |
| description |
The hypothesis of market efficiency is one of the key ideas of today’s theory of finance. The article analyzes the daily profitability of MICEX index from 2012 to 2017 by testing casual roaming in order to find out whether Russian stock exchange is a weak - efficient form. The empiric testing of the weak form of market efficiency is conducted through the extended Diki – Fuller test. As a result it was found out that Russian stock exchange is not at the level of weak-form efficiency. The author puts forward recommendations aimed at making stock exchange in Russia more efficient. |
| format |
article |
| author |
Shadi Omran |
| author_facet |
Shadi Omran |
| author_sort |
Shadi Omran |
| title |
ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET |
| title_short |
ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET |
| title_full |
ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET |
| title_fullStr |
ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET |
| title_full_unstemmed |
ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET |
| title_sort |
analyzing the efficiency of russian stock market |
| publisher |
Plekhanov Russian University of Economics |
| publishDate |
2018 |
| url |
https://doaj.org/article/854bd271144d4122906fe82637224ba6 |
| work_keys_str_mv |
AT shadiomran analyzingtheefficiencyofrussianstockmarket |
| _version_ |
1718428692565196800 |