|M.Sc Student||Abramov Michael|
|Subject||Market Efficiency and Anomalies in the|
Russian Capital Market
|Department||Department of Industrial Engineering and Management||Supervisors||Mr. Yagil Yossi|
|Mr. Doron Sonsino|
In this final paper we tried to analyze the events that took place in
the capital market of Russia during the period from 1.09.1995 until 31.03.2001.
The total time period was divided into two in order to better track time
changes in the level of market efficiency. The first time period is 1.09.95 -
30.04.98, while the second period is 1.05.98 - 31.03.01.
In both periods the issues of market efficiency and anomalies were examined.
The capital market is said to be efficient if stock prices reflect all available information at any given moment and if consequently investors can not achieve abnormal returns.
Anomalies are the “seasonal” phenomena in stock market returns.
Our findings of three statistical tests of weak market efficiency (serial correlation, filter and run tests) for both periods indicate an absence of weak market efficiency.
To test for semi-strong efficiency we applied an event study and we found only a partial evidence for the existence of semi-strong efficiency.
We investigated three types of market anomalies - monthly, weekly, and daily effects. For the first period, we found a monthly effect, but unlike the January effect documented in many countries, a “summer effect” was found in the Russian capital market. For the second period the summer effect disappeared.
In contrast to the non-existence of the January effect, we found a weekly effect similar to that documented in other countries; namely, a higher return in the first two weeks of the month than in the latter two weeks of the month.
A clear daily effect essentially was not found in either the first or the second time period.
In sum, the findings of our investigation indicate that the Russian capital market is partially inefficient. However, in the second time period, the level of weak efficiency is a bit better. Our empirical study implies that investors can devise investment strategies for achieving excess returns. The findings also indicate that there exists a leakage of information prior to the announcement date of corporate events.