Efficiency of the Moscow Stock Exchange before 2022.

ABSTRACT: 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 distanc

SUBMITTER: Shternshis A 

PROVIDER: S-EPMC9497593 | biostudies-literature | 2022 Aug

REPOSITORIES: biostudies-literature