Returnbased investment strategies on the Russian stock market: The empirical study

Vladimir Ioffe

Student thesis: Master thesis

Abstract

Market efficiency theory is one of the cornerstones of modern finance. It has now been disputed for several decades whether market efficiency holds on different types of markets. One of the most common interpretations of market efficiency theory is that trading strategies based on historical returns could not earn higher than normally expected return on the market. However, some of the recent research suggests that profitable trading strategies with abnormal returns do exist on international stock markets. The purpose of this paper is to examine the profitability of return‐based investment strategies in the Russian stock market. 16 such strategies are examined for the period from January 1996 to December 2009. The methodology used for the testing is widely accepted in academic literature. The paper shows that as opposing to international evidence, market efficiency holds rather well on the Russian stock market. In essence, no persistently profitable strategies are found. Controlling for economic crises effects and bid ask bounce doesn’t change this conclusion.

EducationsMSc in Applied Economics and Finance, (Graduate Programme) Final Thesis
LanguageEnglish
Publication date2010
Number of pages95