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Testing the Semi-strong Form Efficiency of the Russian Stock Market by Event Study Method

Student: Anton Averyanov

Supervisor: Alexey S. Makarov

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Final Grade: 10

Year of Graduation: 2021

The research presents a study of the Russian stock market information efficiency. Stock markets have become an integral part of many countries’ economies today, and the number of speculators and investors is increasing every year. In this regard, the study of market price responses to various events is relevant for traders and stock market regulators. The key difference between this study and previous ones is the use of analyst recommendations as events. In this research event study is used to test the semi-strong form of efficiency. This method will also reveal the speed of the market reaction to the appearance of news. As a result, it was revealed that the publication of analysts' recommendations significantly affects the movement of asset prices and leads to a structural shift in pricing both on the Russian stock market and on the UK market. In addition, it was found that the prices of depositary receipts respond more quickly to the release of new recommendations in comparison with the prices of shares. Thus, the central hypothesis about the efficiency of the Russian stock market in a semi-strong form was rejected due to the significant influence of the recommendations on the securities pricing.

Full text (added May 18, 2021)

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