Hana Florianová, Barbora Chmelíková

(Masaryk University, Brno, Czech Republic)

 

 

Abstract: This paper examines the exchange rate risk on the Moscow Exchange. Two main Russian equity indices — MICEX and RTS — were chosen as the objects of research. These indices are calculated as capitalization-weighted, based on prices of fifty most liquid stocks of Russian companies related to the main sectors of the Russian economy. Both indices are calculated in real time and their bases are composed of identical stocks. The difference between MICEX and RTS is the currency in which they are denominated. While MICEX index is denominated in rubles, RTS index is denominated in US dollars. Data has been gathered from June 2000 till June 2014. Daily closing prices have been used. The main hypothesis was tested by using linear regression model and its adjustments. The established hypothesis that two correspondent indices, which differ only in currency in which they are denominated, have different price development in time was proven.

 

 

Key words: equity indices; exchange rate risk; Moscow exchange

 

JEL codes: G15, F31