Vatrushkin S.V.National Research University - Higher School of Economics, Moscow, Russian Federation VSV001@ya.ru
Importance The securities market is a necessary attribute of the developed economy. It provides companies with an opportunity to raise capital through IPO, SPO, and issue of bonds. Besides, the securities market provides a possibility to attract foreign investments to the national economy. Due to the development of the Russian securities markets, the problem of their efficiency assumes special importance. "Temporal effects", which in practical terms allow deriving excess profit, are one of the forms of securities market ineffectiveness manifestation. Objectives The paper aims to identify "temporal effects" on the Russian market and to determine their sustainability. Methods The article considers the main indexes of the Moscow Stock Exchange (MICEX and RTS indexes) in various aspects. I define "temporal effects" on the maximum time interval, which is divided into sub-periods for the purpose of verifying their sustainability. I define the belonging of "temporal effects" to trade or non-trade periods to narrow the search for the possible causes of the "temporal effects" existence. The paper proves that "temporal effects" really exist in the Russian stock market, but their existence is extremely unstable, and they significantly change over time. Results Therefore, it is impossible to build an investment policy on the stock market on the basis of "temporal effects", because their existence in the past does not mean preserving the yield dynamics. Conclusions and Relevance Subsequently, the "temporal effects" do not allow deriving excess profit, which is not related with additional risk. The findings may serve as a basis for further research.
Keywords: stock market, index, excess profits, temporal effect, day effect, period
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