Extreme movements of the Russian stock market and their consequences for management and economic modeling

Andrei Ankudinov (abankudinov@kpfu.ru), Rustam Ibragimov and Oleg Lebedev (lebolegan@yandex.ru)
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Andrei Ankudinov: Kazan Federal University, Kazan, Russian Federation
Oleg Lebedev: Innopolis University, Innopolis, Russian Federation

Applied Econometrics, 2017, vol. 45, 75-92

Abstract: The article presents the results of testing the degree of heavy-tailedness for Russian companies’ returns distributions. The estimation is based on the robust approach of log-log rank-size regressions with the optimal shift and correct standard errors. The obtained results indicate that the Russian stock market is somewhat more prone to extreme movements when compared to those of the developed as well as some developing countries. In certain cases such behavior may lead to unreliability of standard statistical methods based on variance and correlations, to negative value of portfolio diversification as well as to unreliability of some popular risk-management techniques. The obtained results may be also relevant for macroeconomic forecasting.

Keywords: extreme movements; stock returns; heavy tails; returns asymmetry; risk management (search for similar items in EconPapers)
JEL-codes: G19 O16 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0311

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