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An Examination Of The Dynamics In The Moscow Exchange: Some Empirical Tests For Sectorial Market Efficiency
[Исследование Динамики Московской Биржи: Некоторое Эмпирическое Тестирование Секторальной Рыночной Эффективности]

Author

Listed:
  • Alexakis Cristos (Алексакис Христос)

    (ESC Rennes School of Business)

  • Ignatova Tatiana (Игнатова Т.В.)

    (South-Russia Institute of Management – branch of Russian Presidential Academy of National Economy and Public Administration)

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 or-der 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.

Suggested Citation

  • Alexakis Cristos (Алексакис Христос) & Ignatova Tatiana (Игнатова Т.В.), 2018. "An Examination Of The Dynamics In The Moscow Exchange: Some Empirical Tests For Sectorial Market Efficiency [Исследование Динамики Московской Биржи: Некоторое Эмпирическое Тестирование Секторальной," State and Municipal Management Scholar Notes, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 67-71.
    • Handle: RePEc:rnp:smmscn:s18411
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    References listed on IDEAS

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    4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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