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Price Discovery: Investigation Through Treasury Bond and Equity Futures and Spot Contracts on the Russian Market

Student: Elena Vorguleva

Supervisor: Victoria Rodina

Faculty: HSE Banking Institute

Educational Programme: Financial Analyst (Master)

Year of Graduation: 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.

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