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

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

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 autoc...

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Main Authors: Alexakis Cristos, Ignatova Tatiana Vladimirovna
Format: Article
Language:Russian
Published: Южно-Российский институт управления - филиал РАНХиГС 2018-12-01
Series:Государственное и муниципальное управление
Subjects:
: Moscow Exchange (MOEX)
informational efficiency
“causality”
Fair Game model
stock market
sectorial indices
econometric analysis
stock indexes
securities market
Online Access:http://upravlenie.uriu.ranepa.ru/wp-content/uploads/2018/12/67-71-1.pdf
id doaj-3653df51c9ef4f85a4f80362f8712338
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spelling doaj-3653df51c9ef4f85a4f80362f87123382020-11-25T00:46:37ZrusЮжно-Российский институт управления - филиал РАНХиГС Государственное и муниципальное управление2079-16902079-16902018-12-012018/44677110.22394/2079-1690-2018-1-4-67-71AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCYAlexakis Cristos0Ignatova Tatiana Vladimirovna1ESC Rennes School of BusinessЮжно-Российский институт управления – филиал Российской академии народного хозяйства и государственной службы при Президенте РФThe 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 order 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. http://upravlenie.uriu.ranepa.ru/wp-content/uploads/2018/12/67-71-1.pdf: Moscow Exchange (MOEX)informational efficiency“causality”Fair Game modelstock marketsectorial indiceseconometric analysisstock indexessecurities market
collection DOAJ
language Russian
format Article
sources DOAJ
author Alexakis Cristos
Ignatova Tatiana Vladimirovna
spellingShingle Alexakis Cristos
Ignatova Tatiana Vladimirovna
AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
Государственное и муниципальное управление
: Moscow Exchange (MOEX)
informational efficiency
“causality”
Fair Game model
stock market
sectorial indices
econometric analysis
stock indexes
securities market
author_facet Alexakis Cristos
Ignatova Tatiana Vladimirovna
author_sort Alexakis Cristos
title AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
title_short AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
title_full AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
title_fullStr AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
title_full_unstemmed AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
title_sort examination of the dynamics in the moscow exchange: some empirical tests for sectorial market efficiency
publisher Южно-Российский институт управления - филиал РАНХиГС
series Государственное и муниципальное управление
issn 2079-1690
2079-1690
publishDate 2018-12-01
description 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 order 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.
topic : Moscow Exchange (MOEX)
informational efficiency
“causality”
Fair Game model
stock market
sectorial indices
econometric analysis
stock indexes
securities market
url http://upravlenie.uriu.ranepa.ru/wp-content/uploads/2018/12/67-71-1.pdf
work_keys_str_mv AT alexakiscristos anexaminationofthedynamicsinthemoscowexchangesomeempiricaltestsforsectorialmarketefficiency
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AT alexakiscristos examinationofthedynamicsinthemoscowexchangesomeempiricaltestsforsectorialmarketefficiency
AT ignatovatatianavladimirovna examinationofthedynamicsinthemoscowexchangesomeempiricaltestsforsectorialmarketefficiency
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