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Arbitrage Possibilities in Russian Spot and Future Markets

  • Chetverikov Viktor

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    The authors apply the single-index Sharp model and construct the effective Markowitz set for the most liquid stocks of Russian companies listed in the Russian Trading System. Their stability during 1996-98 is studied for various investment horizons.

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    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 98-057e.

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    Length: 44 pages
    Date of creation: 05 Apr 2000
    Date of revision:
    Handle: RePEc:eer:wpalle:98-057e
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    1. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
    2. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns; Evidence of Predictability But Not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
    3. Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management.
    4. Michael, ROCKINGER & Giovanni, URGA, 1998. "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies," Les Cahiers de Recherche 635, HEC Paris.
    5. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
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