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Economic Factors Influence on the Russian Capital Market Behavior

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Author Info
Dorofeev Evgeny ()
Abstract

The author analyzes the price dynamics of shares listed in the Russian Trading System (RTS). Preferences for speculative versus strategic investments in the Russian capital market are studied by dividing the risk associated with each share into a general component, which depends on economic fundamentals, and an individual (speculative) component associated with holding that particular asset.

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Publisher Info
Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 2k-03e.

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Date of creation: 02 Jun 2000
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Handle: RePEc:eer:wpalle:2k-03e

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Related research
Keywords: Russias; alternative instruments; local expectation hypothesis (LEH); intermarket arbitrage; option pricing; bubbles; entrance–exit barriers;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming
E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
G1 - Financial Economics - - General Financial Markets

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Balduzzi, P. & Bertola, G. & Foresi, S., 1992. "Nonlinearities in Asset Prices and Infrequent Noise Trading," Papers 131, Princeton, Department of Economics - Financial Research Center.
    Other versions:
  2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
  3. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December. [Downloadable!] (restricted)
  4. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
  5. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," Journal of Business, University of Chicago Press, vol. 34, pages 411. [Downloadable!]
  6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  7. Michael, ROCKINGER & Giovanni, URGA, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," Les Cahiers de Recherche 635, HEC Paris. [Downloadable!]
    Other versions:
  8. Paul R. Krugman, 1987. "Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets," NBER Working Papers 2459, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-214, December. [Downloadable!] (restricted)
    Other versions:
  10. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring. [Downloadable!] (restricted)
  11. Glosten, Lawrence R. & Harris, Lawrence E., 1988. "Estimating the components of the bid/ask spread," Journal of Financial Economics, Elsevier, vol. 21(1), pages 123-142, May. [Downloadable!] (restricted)
  12. Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," European Journal of Finance, Taylor and Francis Journals, vol. 10(5), pages 329-344, October. [Downloadable!] (restricted)
  13. Willem H. Buiter & Paolo A. Pesenti, 1990. "Rational Speculative Bubbles in an Exchange Rate Target Zone," NBER Working Papers 3467, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  15. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    Other versions:
  16. Connor, Gregory & Korajczyk, Robert A., 1986. "Performance measurement with the arbitrage pricing theory : A new framework for analysis," Journal of Financial Economics, Elsevier, vol. 15(3), pages 373-394, March. [Downloadable!] (restricted)
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