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Herd Behavior and Liquidity in the Russian Stock Market

Student: Nikita Kutuzov

Supervisor: Victoria Rodina

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 9

Year of Graduation: 2020

The study investigates herding at the aggregate market level and for portfolios formed according to firm size, using data from the Moscow Exchange. It was found that herding is appeared at the market level and in each size-portfolio on the period of macroeconomic instability from 2014 to 2016 and on the whole period of analysis (2011-2019). Market characteristics such as liquidity and volatility are also included to the analysis in order to determine the effect of their changes on herding. The results are shown that liquidity growth exacerbate herding while an increase in volatility reduces this effect.

Full text (added May 25, 2020)

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