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- W2954236281 abstract "The implementation of the May presidential decree aimed at Russia’s joining the top five global economies and achieving economic growth rates above the world’s average while maintaining macroeconomic stability requires a highly developed and efficient stock market ensuring the accumulation of capital and its deployment in the most promising and productive sectors of the economy. The subject of the research is timing anomalies in the Russian stock market in 2012–2018. The relevance of the research is due to the information inefficiency of the Russian stock market and its imperfections leading to significant price deviations from the «fair» value of assets and depriving investors of the opportunity to form various strategies for deriving additional revenues not related to fundamental economic factors and objective processes occurring in the global and local economies and the economy of an individual business entity. Based on the trend analysis of the Broad Market USD Index (RUBMI), the paper demonstrates a methodology for simulating the analysis of price anomalies on large arrays of real data using statistical data processing methods and modern information technologies. The paper concludes that though the Russian stock market lacks even the weak form of efficiency, such well-known timing anomalies as the “day-of-the-week” effect and the “month” effect have not been observed in the recent years. Therefore, investors could not use these anomalies to derive regular revenues above the market average." @default.
- W2954236281 created "2019-07-12" @default.
- W2954236281 creator A5069213135 @default.
- W2954236281 date "2019-07-07" @default.
- W2954236281 modified "2023-10-18" @default.
- W2954236281 title "Investigation of Timing Anomalies in the Russian Stock Market in the Post-Crisis Period" @default.
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- W2954236281 doi "https://doi.org/10.26794/1999-849x-2019-12-3-37-47" @default.
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