The Reaction of Russian Stock Market to Major Sports Events and its Implications for Local and Foreign Investors

Despite the vast research done by foreign academics and practitioners, market efficiency has been a contested concept for decades. While there was little attention among Russian researchers to the topic of market efficiency in the context of behavioral finance, this thesis addresses influence of psychological factors on Russian investors’ behavioral patterns, which, in turn, provides insights into Russian stock market efficiency. Having used sports sentiment as a proxy for mood of Russian population, the research investigates whether upbeat mood can break the full rationality assumption and lead to abnormal returns. The study uses statistical tools to provide evidence on the true degree of investors’ sport sentiment and discusses possible implications of Russian market efficiency for Russian and foreign investors. KEYWORDS: Behavioral finance, Market efficiency in Russia