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Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market

Author

Listed:
  • Varvara V. Nazarova

    (HSE University, St. Petersburg, Russian Federation)

  • Sergei I. Leshchev

    (HSE University, St. Petersburg, Russian Federation)

Abstract

In this paper, the momentum effect is viewed as a price anomaly wherein portfolios of assets of the same return class exhibit systematic outperformance in earnings relative to a given benchmark (e.g., a market index). The study contributes to a better understanding of the momentum effect in the Russian stock market. Using data from the Russian stock market over the period 2019–2021, 16 momentum strategies were analyzed and the risks of momentum strategies related to market volatility were studied. The results show that the impulse strategy generates positive returns even when transaction costs are taken into account, has lower volatility and lower tail risk compared to the market index.

Suggested Citation

  • Varvara V. Nazarova & Sergei I. Leshchev, 2023. "Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 58-73, February.
    • Handle: RePEc:fru:finjrn:230104:p:58-73
    DOI: 10.31107/2075-1990-2023-1-58-73
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    momentum effect; momentum strategy; asset portfolio; Russian stock market; Sharpe ratio; return on assets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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