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Data and Descriptive Features of a Frontier Equity Market

Frontier markets in the statistical twilight zone

Abstract

This chapter has three main purposes: (a) to describe the data set used in the analysis, (b) to assess the probability distribution of the time series of individual Russian equities, and (c) to examine the properties of the return-volatility trade-off (mean-variance frontiers) as it evolves over time. Particularly, the underlying probability distribution properties are noteworthy as the methodology used for assessing the relative degree of market efficiency in a later chapter is selected to be consistent with the probability distribution observed in Russian equities.

Keywords

Descriptive Feature Sharpe Ratio Russian Market Variance Ratio Test Unify Energy System 
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Copyright information

© Kluwer Academic Publishers 1999

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