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Empirical properties of stock price trends in the Russian stock market

Vol. 25, Iss. 5, MAY 2019

Received: 19 February 2019

Received in revised form: 12 March 2019

Accepted: 28 March 2019

Available online: 30 May 2019

Subject Heading: Securities market

JEL Classification: C58, E44, G10, G15

Pages: 1166–1182

https://doi.org/10.24891/fc.25.5.1166

Ulyaev L.R. Lomonosov Moscow State University (MSU), Moscow, Russian Federation
lukman1992@yandex.ru

https://orcid.org/0000-0001-6496-0121

Subject As observed in global stock markets, time series demonstrate common empirical properties. This article shows that certain empirical effects are also seen during processes occurring when prices for the Russian companies’ stocks change.
Objectives The research examines empirical effects in the Russian stock market, identifies the trend specifics of stock prices and compare it with empirical properties of financial time series in global stock markets.
Methods Empirical distinctions of the Russian stock market were analyzed using standard statistical methods. Computations and data visualization are performed with Python programming language. Quotations were imported through Finam resources.
Results I traced most empirical features of financial time series in many global stock markets. The article demonstrates long memory of time series and abnormal distribution of earnings on shares of the Russian companies.
Conclusions and Relevance As compared with developed and developing global stock markets, the Russian stock market is more susceptible to price volatility. Standard econometric models shall be applied prudently, considering unforeseen drops in stock prices. The analysis of discovered empirical effects can supplement ordinary tools of risk management to describe the expected volatility level.

Keywords: empirical properties, financial time-series, Russian stock market

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