Momentum Effect in the Price Dynamics and the Trading Volume of Shares in the Russian Stock Market

This work is devoted to the study of widespread market inefficiencies based on changes in past prices (momentum) and trading volume on the Russian stock market. The applied method of analysis is the modeling of portfolios by the method of Jegadeesh, Titman (1993). In the formation of portfolios, all the main costs, including brokerage commission, Bid-Ask spread and the cost of margin, are taken into account. The results obtained in the work confirm the observations of early studies on the presence of momentum in the Russian market. Most of the formed portfolios of shares with the largest price increase in the observed period showed a yield above the market. Similar results were obtained for the shares with the largest growth in trading volume. Based on the results obtained and the shortcomings identified, a combined strategy has been formed that takes into account the previous movement of price and volume. All the formed portfolios of this strategy showed a profitability above the market and above strategies based on 1 factor. The stable profitability of the strategy over time and the absence of significant explanatory power for the excessive return of portfolios by such regressors as the general profitability of the broad share market, liquidity and volatility of the market make it possible to talk about the existence of sustained inefficiency in the Russian stock market. Keywords: stock market, trading volume, momentum, effective markets hypothesis, portfolio modeling