Drivers of Momentum Effect on the Russian Stock Market

Student: Alikulieva Ilona

Educational Programme: Economics (Bachelor)

Year of Graduation: 2017

The subject of the paper is due to the urgency of testing emerging stock markets for the presence of momentum in the dynamics of ordinary shares. In particular, the work is aimed at identifying the portfolio momentum on the Russian stock market. The results of the study are consistent with international evidence - on the Russian stock market it was found that a strategy based on a momentum effect generates a statistically significant profit in the short term. Moreover, through the use of the three-factor model of Fam and French, and subsequently, with the inclusion of a quarterly proxy factor, the economic sentiment index (IEI), it was found that the momentum can not be fully explained by rational risk factors, and also irrational, in particular , Investor sentiment.

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