The Russian Stock Market: Can it Demonstrate Efficiency, albeit on a Small Scale?

Kavalenya Leonid N. ()
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Kavalenya Leonid N.: Budget and Treasury Academy of the Ministry of Finance of the Russian Federation

Finansovyj žhurnal — Financial Journal, 2010, issue 4, 15-24

Abstract: The article author uses statistical data to examine how the MICEX Index changed during the last decade. The researcher looks into the changes in the cumulative distribution functions for earnings and comes to the conclusion that the efficient market hypothesis is ungrounded and that the price formation patterns that are based on the assumption that the asset risk can be measured by the earning variances are erroneous.

Keywords: efficient market hypothesis; fractal market hypothesis; stable distributions; Lévy processes (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:100402:p:15-24

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