CEU Electronic Theses and Dissertations, 2012
| Author | Serikova, Ekaterina Mikhailovna |
|---|---|
| Title | Is Moscow Stock Exchange Sufficiently Liquid? The Evidence from Cross-listing |
| Summary | The paper investigates the liquidity of Moscow Stock exchange, analyzing its dynamics for the period from 2006 to March, 2012. To reach the stated goal, cross listed stocks traded in Russia and in London as depositary receipts were taken into the model for OLS estimation. From the one hand, our findings show statistically significant local effects that determine returns for stocks in Russia and in London, allowing for persistent arbitrage on two markets. From the other hand, the results represent that Russian market is not integrated enough in the global financial market. Both of them have several implications for financial market policy authorities. Firstly, more professional arbitrageurs should be on the market to make it integrated and to equalize the prices. Also, policy authorities should think of attracting more foreign investors to Russia. Moreover, over time the situation does not become better, which calls for immediate attention to the problem of illiquidity of the Moscow Stock Exchange. |
| Supervisor | Kondor, Peter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2012/serikova_ekaterina.pdf |
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