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Overreaction of prices of futures MICEX on U.S. return

ФИО студента: Levan Tenieshvili

Руководитель: Dmitriy Alexandrovich Kachalov

Кампус/факультет: International College of Economics and Finance

Программа: Master

Год защиты: 2014

<p>The work tries to investigate whether there is some link between the daily returns on the<br /><br />Russian MMBV futures market and the lagged daily return on the US stock market (S&amp;P<br /><br />500). For this reason, the former return is regressed on the latter. Then, diploma tries to<br /><br />establish that the link which&nbsp; &quot;overreaction to news&quot; is stronger: (a) for<br /><br />extreme values of the dependent variable; (b) in 2014; (c) on Mondays. Diploma interprets the<br /><br />results as evidence of psychological biases in investors&#39; behavior. Finally, Diploma builds a<br /><br />strategy which makes use of investors&#39; overreaction to extreme good or bad news and<br /><br />demonstrates that it is profitable.</p>

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