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Efficiency of the Moscow Stock Exchange before 2022

This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low for most of the months from 2012 to 2021. We calculate the d...

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Autores principales: Shternshis, Andrey, Mazzarisi, Piero, Marmi, Stefano
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9497593/
https://www.ncbi.nlm.nih.gov/pubmed/36141070
http://dx.doi.org/10.3390/e24091184
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author Shternshis, Andrey
Mazzarisi, Piero
Marmi, Stefano
author_facet Shternshis, Andrey
Mazzarisi, Piero
Marmi, Stefano
author_sort Shternshis, Andrey
collection PubMed
description This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low for most of the months from 2012 to 2021. We calculate the degree of market efficiency by (i) filtering out regularities in financial data and (ii) computing the Shannon entropy of the filtered return time series. We developed a simple method for estimating volatility and price staleness in empirical data in order to filter out such regularity patterns from return time series. The resulting financial time series of stock returns are then clustered into different groups according to some entropy measures. In particular, we use the Kullback–Leibler distance and a novel entropy metric capturing the co-movements between pairs of stocks. By using Monte Carlo simulations, we are then able to identify the time periods of market inefficiency for a group of 18 stocks. The inefficiency of the Moscow Stock Exchange that we have detected is a signal of the possibility of devising profitable strategies, net of transaction costs. The deviation from the efficient behavior for a stock strongly depends on the industrial sector that it belongs to.
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spelling pubmed-94975932022-09-23 Efficiency of the Moscow Stock Exchange before 2022 Shternshis, Andrey Mazzarisi, Piero Marmi, Stefano Entropy (Basel) Article This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low for most of the months from 2012 to 2021. We calculate the degree of market efficiency by (i) filtering out regularities in financial data and (ii) computing the Shannon entropy of the filtered return time series. We developed a simple method for estimating volatility and price staleness in empirical data in order to filter out such regularity patterns from return time series. The resulting financial time series of stock returns are then clustered into different groups according to some entropy measures. In particular, we use the Kullback–Leibler distance and a novel entropy metric capturing the co-movements between pairs of stocks. By using Monte Carlo simulations, we are then able to identify the time periods of market inefficiency for a group of 18 stocks. The inefficiency of the Moscow Stock Exchange that we have detected is a signal of the possibility of devising profitable strategies, net of transaction costs. The deviation from the efficient behavior for a stock strongly depends on the industrial sector that it belongs to. MDPI 2022-08-25 /pmc/articles/PMC9497593/ /pubmed/36141070 http://dx.doi.org/10.3390/e24091184 Text en © 2022 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Shternshis, Andrey
Mazzarisi, Piero
Marmi, Stefano
Efficiency of the Moscow Stock Exchange before 2022
title Efficiency of the Moscow Stock Exchange before 2022
title_full Efficiency of the Moscow Stock Exchange before 2022
title_fullStr Efficiency of the Moscow Stock Exchange before 2022
title_full_unstemmed Efficiency of the Moscow Stock Exchange before 2022
title_short Efficiency of the Moscow Stock Exchange before 2022
title_sort efficiency of the moscow stock exchange before 2022
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9497593/
https://www.ncbi.nlm.nih.gov/pubmed/36141070
http://dx.doi.org/10.3390/e24091184
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