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@inproceedings{1205450,
author = {Florianová, Hana and Chmelíková, Barbora},
address = {Bratislava},
booktitle = {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},
edition = {1st edition},
editor = {Horvátová, E., Kotlebová, J.},
keywords = {exchange rate risk; equity indices; Moscow exchange; MICEX; RTS},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Bratislava},
isbn = {978-80-225-4034-6},
pages = {78-83},
publisher = {University of Economics in Bratislava},
title = {Exchange Rate Risk Associated with Investments in Russian Equity Indices},
year = {2014}
}
TY - JOUR
ID - 1205450
AU - Florianová, Hana - Chmelíková, Barbora
PY - 2014
TI - Exchange Rate Risk Associated with Investments in Russian Equity Indices
PB - University of Economics in Bratislava
CY - Bratislava
SN - 9788022540346
KW - exchange rate risk
KW - equity indices
KW - Moscow exchange
KW - MICEX
KW - RTS
N2 - 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.
ER -
FLORIANOVÁ, Hana a Barbora CHMELÍKOVÁ. Exchange Rate Risk Associated with Investments in Russian Equity Indices. In Horvátová, E., Kotlebová, J. \textit{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}. 1st edition. Bratislava: University of Economics in Bratislava, 2014, s.~78-83. ISBN~978-80-225-4034-6.
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