Research of the Process of Formation Financial Bubbles on the Russian Stock Market

Student: Mikhatov Vladislav

Supervisor: Sergey M. Menshikov

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2018

The paper is devoted to the analysis of the formation of multiple financial bubbles on the Russian stock market for the period from 2003 to 2018. The stock market was analyzed on the basis of the key index IMOEX and 16 of the most liquid Russian stocks using modern econometric tests. As a result, it was possible to identify the presence of bubbles in the prices of 10 shares out of 16 in the period from 2003 to 2018. A positive relationship was also established between the formation of bubbles in major Russian stocks and the IMOEX index between 2005 and 2008.

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