For example,Бобцов

Empirical study of momentum strategy in the Russian stock market

Annotation

This paper examines the application of the momentum investing strategy, originally proposed by Jegadeesh and Titman [2], adapted to the Russian stock market. The study's relevance stems from the lack of methodology of behavioral finance strategies in emerging markets, especially the Russian market, which has specific macroeconomic and institutional characteristics. The research is based on historical closing prices of the 50 largest companies listed on the Moscow Exchange, covering the period from 2015 to 2020. The methodological approach is based on constructing equity portfolios by combining different combinations of formation and holding periods, as well as evaluating the impact of introducing a time lag between these stages in order to mitigate market microstructure effects. The results provide strong evidence for the existence of a persistent positive return premium among stocks with strong historical momentum, particularly when the formation period is 6 months and the holding period ranges from 3 to 6 months. The statistical significance of these findings is confirmed through cross-validation using out-of-sample time intervals. These findings support the existence of persistent behavioral patterns in the price movements of Russian stocks, which are driven by delayed market reactions to news events. The practical importance of this study lies in demonstrating the feasibility of using momentum-based strategies in active portfolio management for the Russian market and in providing empirically supported recommendations for selecting optimal strategy parameters.

Keywords

Постоянный URL

Articles in current issue

CONTENT © ITMO UNIVERSITY 1993-2026