Exchange Rate Risk Related to MICEX and RTS Indices

J 2015

Exchange Rate Risk Related to MICEX and RTS Indices

FLORIANOVÁ, Hana a Barbora CHMELÍKOVÁ

Základní údaje

Originální název

Exchange Rate Risk Related to MICEX and RTS Indices

Autoři

FLORIANOVÁ, Hana (203 Česká republika, garant, domácí) a Barbora CHMELÍKOVÁ (203 Česká republika, domácí)

Vydání

Journal of Business and Economics, New York, Academic Star Publishing Company, 2015, 2155-7950

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50600 5.6 Political science

Stát vydavatele

Spojené státy

Utajení

není předmětem státního či obchodního tajemství

Odkazy

http://www.academicstar.us/UploadFile/Picture/2015-11/20151121259442.pdf

Kód RIV

RIV/00216224:14560/15:00084764

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.15341/jbe(2155-7950)/07.06.2015/014

Klíčová slova anglicky

equity indices; exchange rate risk; Moscow exchange

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 22. 2. 2016 11:10, Mgr. Daniela Marcollová

Anotace

V originále

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.

Návaznosti

MUNI/A/1127/2014, interní kód MU

Název: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí

Investor: Masarykova univerzita, Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

FLORIANOVÁ, Hana a Barbora CHMELÍKOVÁ. Exchange Rate Risk Related to MICEX and RTS Indices. Journal of Business and Economics. New York: Academic Star Publishing Company, 2015, roč. 6, č. 7, s. 1375-1383. ISSN 2155-7950. Dostupné z: https://dx.doi.org/10.15341/jbe(2155-7950)/07.06.2015/014.

@article{1317783,
   author = {Florianová, Hana and Chmelíková, Barbora},
   article_location = {New York},
   article_number = {7},
   doi = {http://dx.doi.org/10.15341/jbe(2155-7950)/07.06.2015/014},
   keywords = {equity indices; exchange rate risk; Moscow exchange},
   language = {eng},
   issn = {2155-7950},
   journal = {Journal of Business and Economics},
   title = {Exchange Rate Risk Related to MICEX and RTS Indices},
   url = {http://www.academicstar.us/UploadFile/Picture/2015-11/20151121259442.pdf},
   volume = {6},
   year = {2015}
}

TY  - JOUR
ID  - 1317783
AU  - Florianová, Hana - Chmelíková, Barbora
PY  - 2015
TI  - Exchange Rate Risk Related to MICEX and RTS Indices
JF  - Journal of Business and Economics
VL  - 6
IS  - 7
SP  - 1375-1383
EP  - 1375-1383
PB  - Academic Star Publishing Company
SN  - 21557950
KW  - equity indices
KW  - exchange rate risk
KW  - Moscow exchange
UR  - http://www.academicstar.us/UploadFile/Picture/2015-11/20151121259442.pdf
L2  - http://www.academicstar.us/UploadFile/Picture/2015-11/20151121259442.pdf
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 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.
ER  -

FLORIANOVÁ, Hana a Barbora CHMELÍKOVÁ. Exchange Rate Risk Related to MICEX and RTS Indices. \textit{Journal of Business and Economics}. New York: Academic Star Publishing Company, 2015, roč.~6, č.~7, s.~1375-1383. ISSN~2155-7950. Dostupné z: https://dx.doi.org/10.15341/jbe(2155-7950)/07.06.2015/014.

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