Russian stock market in the period of world crisis 2008-2009

Ivan Lukashin

Applied Econometrics, 2010, vol. 19, issue 3, 23-37

Abstract: This paper is dedicated to research of level of profitability and risk in Russian stock market in the period of world crisis 2008-2009 Correlations of Russian stock market with the main world stock indices and prices of energy commodities are discussed Autocorrelation of returns is researched and volatility of stock index by the example of MICEX is modeled Several optimal portfolios in different time periods are defined and their features and structures are compared Regression of beta-coefficients on stock’s volatility is analyzed

Keywords: volatility; profitability; risk; optimal portfolios; distributions; correlations; conditional heteroscedasticity (search for similar items in EconPapers)
JEL-codes: C32 E22 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0108

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