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The Spillover of Price Information between Different Sectors of the Stock Market

Student: Kuznetsova Elena

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2019

In this paper, we study the process of the price discovery (i.e., the impounding of new information into the security price) between the RTS index, FXRL ETF on the RTS index and RTS index futures. To identify this, we have applied approach proposed in Hasbrouck (1995) where author assumed the existence of a single implicit efficient price around which asset prices fluctuate in different markets. To measure the contribution of different markets to the effective price, we calculated the information shares of each market, which were defined as the relative contribution of each market to the total variance. From our analysis it follows, that futures do the greatest contribution in the price discovery process, then the RTS index, and the ETF market is the most dependent. Our results confirm the findings of studies made in foreign markets.

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