Prices Volatility and Hedging Strategy: Evidence of The Green Stock in Moscow Exchange

Abstract

The aim of this study is to investigate the presence of fractal structure in the Moscow Exchange green stocks, and to propose a hedging strategy for the investors. We use the daily returns MRSV index for the period from 9/22/2020 to 01/06/2022. The Hurst exponent, wave analysis, and wavelet shrinkage estimator were applied. Our results show that the daily returns of MRSV index follow a fractal pricing paradigm. The volatility of MRSV index returns is confined to support and resistance levels (+2%, -2%), This result is due to speculation behavior in Moscow Exchange. To hedge against price volatility investors should buy the put options when the returns of MRSV index fall below the support level -2%.