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.
