AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY

ИССЛЕДОВАНИЕ ДИНАМИКИ МОСКОВСКОЙ БИРЖИ: НЕКОТОРОЕ ЭМПИРИЧЕСКОЕ ТЕСТИРОВАНИЕ СЕКТОРАЛЬНОЙ РЫНОЧНОЙ ЭФФЕКТИВНОСТИ

Alexakis Cristos (Алексакис Христос) and Tatiana Ignatova ()
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Alexakis Cristos (Алексакис Христос): ESC Rennes School of Business

State and Municipal Management Scholar Notes, 2018, vol. 4, 67-71

Abstract: The purpose of this paper is to investigate the possibility of short run dynamics among sectorial stock markets of the Moscow Exchange (MOEX). “Causality” tests provide a statistical framework of testing the extent of possible links among equity indices. In addition, we examine the degree of autocorrelation of the indices in or-der to examine the speed of adjustment to news. Our results indicated that the degree of autocorrelation is close to zero giving support that the Moscow Exchange is an efficient market in the weak form. The results of the Granger “causalities” indicated that there are no “causalities” between the examined indices supporting again the view that the Moscow Exchange is an efficient market.

Keywords: Moscow Exchange (MOEX); informational efficiency; “causality”; Fair Game model; stock market; sectorial indices; econometric analysis; stock indexes; securities market (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:smmscn:s18411

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