Market Over- and Underreaction on News

Student: Zhiganov Aleksandr

Supervisor: Sergey M. Menshikov

Educational Programme: Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2016

In this work, the phenomenon of unusual reactions on financial markets is examined. More precisely, the hypothesis of overreaction on Russian financial market is tested; the object of the research is shares prices dynamics of companies that have been included in RTS list for the last 12 years. Methods of testing are connected with CAR and BHR returns and ARIMA-modelling. The resulting hypothesis confirmation is reached with all three methods; the overreaction exists on the market and can be used to obtain above-market benefits by correcting trade strategies. The research has both immediate practical implementations and options for further development.

Full text (added May 12, 2016)

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