The Russian Stock Market: Is it still Efficient?

Abstract:

The paper addresses the issue of the Russian stock market efficiency. Despite the growing controversy the efficient-market hypothesis has been widely applied. However, empirical findings on market efficiency are sometimes mixed. Besides, financial situation can dramatically change. It especially concerns emerging markets where there is still plenty room for research. This paper focuses on the Russian stock market’s efficiency, mainly on two groups of hypotheses. The first group concerns the distribution of stock returns. The second group implies testing weak-form efficiency. To check the hypotheses, we studied the sample of 20 equities’ and the main market indices’ daily prices for the period from April 23, 2009 to January 22, 2016.