ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET
https://doi.org/10.21686/2413-2829-2017-6-90-95
Abstract
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.
About the Author
Shadi Omran
Plekhanov Russian University of Economics
Russian Federation
Russian Federation
Post-Graduate Student of the Department for ‘Finance Markets’
Address: 36 Stremyanny Lane, Moscow, 117997, Russian Federation
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Review
For citations:
Omran Sh. ANALYZING THE EFFICIENCY OF RUSSIAN STOCK MARKET. Vestnik of the Plekhanov Russian University of Economics. 2017;(6):90-95. (In Russ.) https://doi.org/10.21686/2413-2829-2017-6-90-95
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