• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
  • HSE University
  • Student Theses
  • Price Discovery: Investigation Through Treasury Bond and Equity Futures and Spot Contracts on the Russian Market

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Elena Vorguleva
Price Discovery: Investigation Through Treasury Bond and Equity Futures and Spot Contracts on the Russian Market
Financial Analyst
(Master’s programme)
2019
In addition to the traditional role of hedging risks, which are played by future contracts and derivatives in general, the future contracts market also plays a big role in the process of displaying new information in the price of an asset . The process of price adaptation under the influence of changes in the equilibrium state of supply and demand caused by the appearance of new information in the market is called price discovery.

This paper examined the process of price discovery of the index, shares of Sberbank, shares of NLMK and government bonds. The results showed that the process of prices discovery for stocks and the index is carried out on the futures market, for bonds - on the spot market.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses