A Ten-year retrospection of the behavior of Russian stock returns
Anatolyev, Stanislav (13.08.2005)
Numero
9/2005Julkaisija
Bank of Finland
2005
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201408072206Tiivistelmä
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. Key words: Russia, transition, stock returns, integration, efficiency. JEL codes: C22, F36, G14, G15
Julkaisuhuomautus
Published in Research in International Business and Finance, Vol. 22, 2008: 56-67