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Russian stock market in the period of world crisis 2008-2009

Author

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  • Lukashin, Ivan

Abstract

This paper is dedicated to research of level of profitability and risk in Russian stock market in the period of world crisis 2008-2009 Correlations of Russian stock market with the main world stock indices and prices of energy commodities are discussed Autocorrelation of returns is researched and volatility of stock index by the example of MICEX is modeled Several optimal portfolios in different time periods are defined and their features and structures are compared Regression of beta-coefficients on stock’s volatility is analyzed

Suggested Citation

  • Lukashin, Ivan, 2010. "Russian stock market in the period of world crisis 2008-2009," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 19(3), pages 23-37.
    • Handle: RePEc:ris:apltrx:0108
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    More about this item

    Keywords

    volatility; profitability; risk; optimal portfolios; distributions; correlations; conditional heteroscedasticity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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