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.
