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Russian stock market: participants and their strategies

  • Kolodyazhny Georgy

    ()

  • Medvedev Alexey

    ()

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    The project will focus on the microstructure of Russian stock market. The main question to be asked: is there any fundamental information in the market? In order to answer this question we will carry out a study of investor behavior in the leading organized exchange (MICEX) and the determinants of investors’ successes.

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    File URL: http://www.eercnetwork.com/default/download/creater/working_papers/file/2a82d51dcb262e46994d482c29c3196f9ba65b21.pdf
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    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 01-060e.

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    Date of creation: 19 Jul 2003
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    Handle: RePEc:eer:wpalle:01-060e
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    1. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    2. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September.
    3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    4. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
    5. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04.
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