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Asset Pricing and Investor Irrationality

Student: Sofiya Syrovatskaya

Supervisor: Dmitry Makarov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

This paper analyzes how retail investors’ trading activity is affected by the illiquidity on the stock market during COVID-19. The purpose of this thesis is to examine the decision-making process of individual investors and determine whether they behaved irrationally in terms of dis-regard for risk in their trading practices during the pandemic. Using the data sample of retail in-vestors’ trades from the top Russian brokers and multiple liquidity measures on the sample of actively traded volatile stocks, positive association between the rise in illiquidity and volume traded by individuals was found.

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