Behavioural Deviations and Fractal Patterns in the Russian Stock Market

Maksim S. Faizulin

National Research University Higher School of Economics, Moscow, Russia

Abstract

Studying market efficiency during systemic shocks presents a complex and significant challenge. This paper investigates the transformation of the Russian financial market following the structural shift of 2022. The primary objective is to analyse shifts in investor behaviour and fractal characteristics among different market segments based on multifractal fluctuation analysis (MFDFA). The study encompasses sectoral indices of the Moscow Exchange, the broad bond market of Russia, and Bitcoin, the benchmark currency of the cryptocurrency market. The results reveal a heterogeneous investor response to the structural shift across various market segments of the stock market. Most sectors demonstrate a decrease in market efficiency and an increase in herd behaviour. However, the opposite dynamics is observed in the electricity sector. The Russian bond market exhibits a decrease in efficiency and an increase in herd behaviour, while Bitcoin prices, on the contrary, reflect a slight increase in efficiency and a decrease in trend patterns, which sets it apart from traditional assets. Based on the analysis of the Market Long Memory (MLM) and Herd Behaviour (HB) measures, the study finds that after the 2022 structural shift, prices for most sectors of the stock market have a high degree of predictability due to an increase in trend persistence on large fluctuations. Notable exceptions were also observed in the financial and consumer sectors, where more pronounced formation of price patterns is recorded against the background of weakening herd behaviour. This creates additional risks for investors due to ambiguous future dynamics of share prices from the above two sectors. Within the framework of the identified regularities, recommendations are put forward to strengthen control over manipulative practices by unscrupulous market participants and to enhance information transparency during periods of external shocks. These measures aim to preserve investor confidence and ensure sustainable development of the market.

Keywords

multifractal analysis; herd behaviour; efficiency; structural shifts.

JEL classification

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Acknowledgements

The study was carried out within the framework of the Fundamental Research Program of the National Research University Higher School of Economics.

About Authors

Maksim Sergeevich Fayzulin

Post-Graduate Student, Research Fellow, National Research University Higher School of Economics, Moscow, Russia (109028, Moscow, Pokrovsky Boulevard, 11); ORCID https://orcid.org/0000-0003-3273-9005 e-mail: faizulin.maxi@ya.ru

For citation

Fayzulin, M.S. (2025). Behavioural Deviations and Fractal Patterns in the Russian Stock Market. Journal of Applied Economic Research, Vol. 24, No. 3, 1023-1064. https://doi.org/10.15826/vestnik.2025.24.3.034

Article info

Received February 16, 2025; Revised May 17, 2025; Accepted May 21, 2025.

DOI: https://doi.org/10.15826/vestnik.2025.24.3.034

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