Russian Stock Market: Behavioral Anomalies

Student: Shakulova Viktoria

Educational Programme: Economics and Statistics (Bachelor)

Year of Graduation: 2021

The behavioral finance paradigm claims that the investor is not fully rational and sometimes makes irrational decisions based on the feelings. What influences the mood of investors? There are many factors influencing mood. In this paper we will focuse on the Russian equity market behavioral anomalies which are related with the weather conditions, namely temperature, nebulosity, atmosphere pressure, humidity, rainfall. Another parameters which are taken into account are moon phases, geomagnetic activity and results of Russian national football and hockey teams. We analyze the impact of these factors on the RTS, IMOEX, RUMBI, MOEXBMI, RTSMM, MCXSM indices via stochastic conditionally gaussian ARCH-and GARCH-models and regression techniques.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses