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Estimation and Comparison of Price Discovery Process on Russian Spor and Futures Markets

Student: Antonov Vladimir

Supervisor: Victoria Rodina

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

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".

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