BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
A ten-year retrospection of the behavior of Russian stock returns
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; (follow links to similar papers)
JEL-Codes: C22; F36; G14; G15; (follow links to similar papers)
43 pages, July 15, 2005
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