Investor Overconfidence Bias in the Russian Stock Market

Student: Phan Cam tu

Educational Programme: Strategic Corporate Finance (Master)

Year of Graduation: 2020

Overconfidence bias has become one of the most prominent behavioral biases in the financial market. This paper aims to document the existence of investor overconfidence bias in the Russian stock market. Using a sample of 58 most liquid companies listed on the Moscow Exchange, this paper applies Vector Autoregressive model in examining the weekly market-wide relation between the lagged returns and current turnover during 2010-2019. This study finds a weak evidence of investor overconfidence in the Russian stock market during the recovery period from 2016 to 2019. Keywords: Investor overconfidence, Russian stock market, turnover-returns

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