Turnover concentration and future realized volatility of the IMOEX Index: Evidence from the Russian stock market

AntonTerentev Terentev and Elena Vetoshkina
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AntonTerentev Terentev: Kazan (Volga Region) Federal University, Kazan, Russian Federation
Elena Vetoshkina: Kazan (Volga Region) Federal University, Kazan, Russian Federation

Applied Econometrics, 2026, vol. 83, 52-72

Abstract: The study examines the relationship between daily turnover concentration and future realized volatility of the IMOEX index over the period 2013–2025. In the baseline linear specification a robust average effect of concentration is not confirmed, while quantile estimates reveal significant heterogeneous relationship that strengthens in the upper tail of the risk distribution. The findings suggest that turnover concentration is better interpreted as an indicator of regime-dependent liquidity changes than as a universal linear predictor of index risk.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:023599

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