Articles
AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY
Received: 15.04.2018 Published: 15.04.2018
DOI: 10.22394/2079-1690-2018-1-4-67-71
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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 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.
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Для цитирования:
Алексакис Х., Игнатова Т.В. Исследование динамики Московской биржи: некоторое эмпирическое тестирование секторальной рыночной эффективности // Государственное и муниципальное управление. Учёные записки. 2018. Т. 1, № 4. С. 67–71. https://doi.org/10.22394/2079-1690-2018-1-4-67-71
For citation:
Алексакис Х., Игнатова Т.В. AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY // State and Municipal Management. Scholar Notes. 2018. Vol. 1, no. 4. P. 67–71. https://doi.org/10.22394/2079-1690-2018-1-4-67-71
How to Cite
Алексакис Х., Игнатова Т.В. AN EXAMINATION OF THE DYNAMICS IN THE MOSCOW EXCHANGE: SOME EMPIRICAL TESTS FOR SECTORIAL MARKET EFFICIENCY // State and Municipal Management. Scholar Notes. 2018. Vol. 1, no. 4. P. 67–71. https://doi.org/10.22394/2079-1690-2018-1-4-67-71