An Analysis Of The Technical Efficiency Of The Russian Stock Market

Abstract

In this paper, we evaluate the weak form efficiency of the Russian Stock Market using the Russian Trading System Index for the period from when the market opened, September 4, 1995 to June 1, 2007. There does appear to have been a speculative bubble in the run-up to the market peak in late 1997/early 1998 that burst when the government defaulted on debt. However, based on the empirical results of this paper, it appears that the RTSI is generally weak form efficient, particularly in the last eight periods of the study. This weak form efficiency is not surprising given the international interest in the Russian Stock Market and because the RTSI is denominated in US dollars.