Year of Graduation
Estimation and Comparison of Price Discovery Process on Russian Spor and Futures Markets
The survey contains analysis of 5 pairs of assets (spot-futures) in order to check a hypothesis of futures market being more effeiceint than spot market. Econometrical model "Error Correction Model" was used to estimate price discovery process on both markets. The analysis includes following assets: RTS stock index, Brent oil, Euro-Rub currency pair and shares of "Rosneft" and "VTB".