Financial Market Anomalies in Russia

Student: Kuznetsova Olga

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 7

Year of Graduation: 2019

As a result of the study, the significance of the indicator of cloudiness from a group of weather indicators was proved - on more cloudy days, the yield on the stock market dropped significantly, and clear sunny days showed high excess returns. The results of the hockey matches also showed their significance in the model - the wins of the Russian national team in the matches of the World Hockey Championship unequivocally raised the mood of investors, thereby provoking a more active trade and bringing high returns. Among the calendar anomalies, only the anomaly associated with the January effect was uniquely confirmed, and only for the MICEX index.

Full text (added June 3, 2019)

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