Specialities of pricing on Russian derivatives market

Markets of derivatives are one of the main columns in finance. Nowadays, world financial markets are exceptionally changeable due to economic and geopolitical alterations. That is why it is important to study how these changes affect asset pricing. As Russian stock market is considered as developing, the problem of dependence from news is even more significant than in developed countries. That is the reason why the study of the influence is utterly relevant, taking into account that this subject is poorly studied in the Russian academic environment. The paper is aimed at analysis of the most liquid futures contracts pricing in the Russian market. The main problem was to determine how much unexpected events influence the Russian market and how it results in efficiency. The results of the study showed that in unstable time periods pending instruments, scilicet futures contracts on the shares of Russian companies, change the position from their usual place, contango, to backwardation. This provides an opportunity for pair arbitrage on the same asset on quite a long time period. During the research it was also explained how stable and unstable dividend payouts affect contract pricing. It turned up that shareholders are often not certain about the stability of payouts, so they only add expected dividend amount to the contract price when it is approved by Board of Directors. Accordingly this research paper can have practical value for understanding specialities of futures contracts pricing in the Russian Market.