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  • 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 correspondent in every factor except the currency in which they are denominated. While MICEX Index is denominated in rubles, RTS Index is denominated in US dollars. The established hypothesis of the article is that two identical indices, which differ only in the currency in which they are denominated, have a different price development in time. This hypothesis has been tested by using a linear regression model and its adjustments. It was observed that different currency causes different volatility. Hence MICEX Index is more suitable for risk-averse investors, RTS Index for aggressive investors. The data has been monitored from June 2000 to June 2014 on daily closing prices.
  • 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 correspondent in every factor except the currency in which they are denominated. While MICEX Index is denominated in rubles, RTS Index is denominated in US dollars. The established hypothesis of the article is that two identical indices, which differ only in the currency in which they are denominated, have a different price development in time. This hypothesis has been tested by using a linear regression model and its adjustments. It was observed that different currency causes different volatility. Hence MICEX Index is more suitable for risk-averse investors, RTS Index for aggressive investors. The data has been monitored from June 2000 to June 2014 on daily closing prices. (en)
Title
  • Exchange Rate Risk Associated with Investments in Russian Equity Indices
  • Exchange Rate Risk Associated with Investments in Russian Equity Indices (en)
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  • Exchange Rate Risk Associated with Investments in Russian Equity Indices
  • Exchange Rate Risk Associated with Investments in Russian Equity Indices (en)
skos:notation
  • RIV/00216224:14560/14:00077217!RIV15-MSM-14560___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 15676
http://linked.open...ai/riv/idVysledku
  • RIV/00216224:14560/14:00077217
http://linked.open...riv/jazykVysledku
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  • exchange rate risk; equity indices; Moscow exchange; MICEX; RTS (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [DDDF0306F5F2]
http://linked.open...v/mistoKonaniAkce
  • Bratislava
http://linked.open...i/riv/mistoVydani
  • Bratislava
http://linked.open...i/riv/nazevZdroje
  • The Role Of Financial Sector In Supporting The Economic Recovery Of CEE Countries: Proceedings of the 8th International Conference On Currency, Banking and International Finance
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Florianová, Hana
  • Chmelíková, Barbora
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Ekonomická univerzita v Bratislave
https://schema.org/isbn
  • 9788022540346
http://localhost/t...ganizacniJednotka
  • 14560
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