Periodic Anomalies in the Russian Stock Market

Student: Frunze Anastasiia

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

The dynamics of returns that not explained by the efficient market hypothesis is included in the concept of anomalies in the theory of behavioral finance. This study examined hypotheses about the presence in the Russian stock market of calendar, weather anomalies and anomalies related to sporting events. The sample consists of 38 companies included in the calculation of the Moscow Exchange Index and covers the period from 2010 to February 2020. The study shows the existence of various effects on returns, sales volume and Amivest Liquidity Ratio. Returns may be affected by the month of the year, the weather factors - cloud cover and some others, and the result of a match of the Russian team in the world hockey championship.

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