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

Student: Tenieshvili Levan

Supervisor: Dmitriy Alexandrovich Kachalov

Faculty: International College of Economics and Finance

Educational Programme: Master

Year of Graduation: 2014

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

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