Issue 3, 2010

Okulov V. L. Study of the Russian Stock Market Efficiency: The Market Reaction to the Publication of Analysts’ Forecasts.

«Event study analysis» method has been used to evaluate the reaction of Russian stock market to public information from leading brokerage firms about the changes of the forecast price for LUKOIL shares. Classical event study analysis method has been modified to take into account the magnitude of forecast changes. The study demonstrated that the efficient market hypothesis for LUKOIL shares in relation to new information changing the price forecast cannot be rejected. Testing the hypothesis was conducted using the statistics calculated by Monte-Carlo simulation method. Keywords: Efficient Market Hypothesis, Russian Stock Market, Information Efficiency of Market, Analysts’ Forecasts, Event Study Analysis, Monte-Carlo Simulation Method.

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