Home  Journals  Finance and Credit  6(390) - 2010 February

The analysis of the qualitative state the russian stock market

Available online: 12 February 2010

Subject Heading: Securities market

JEL Classification: 

For investors and stock analysts the most relevant and significant is the answer to the question, if the shock market of a country is effective. Researches in this theoretical area influence the strategy of portfolio investment and choice of forecasting models in the fundamental analysis. This article contains the results of statistical testing of RTS index dynamics. Despite the financial crisis the domestic stock market demonstrate a weak form of information of efficiency. The values of RTS index are well enough approximated by means of random walk equations. The author found macroeconomic variables, which have immediate on securities rate of Russian issuer. The author disclosed the direct influence of the American Standard and Poor's 500 index on the RTS index rate. The studies show the increase of globalization process.

Keywords: efficient market, markov's processes, dynamics of RTS index, the method of Monte Carlo, random walk

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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