Does Inclusion of Securities in the List of Highly Liquid Affect the Securities' Prices? The Case of Russia

This paper investigates the impact of classification of securities as highly liquid assets (HLA) on their market value in the Russian financial market. The purpose of the study is to analyze how the inclusion of securities in the list of HLAs approved by the Central Bank of Russia affects their profitability. The study includes literature review, theoretical model development and empirical analysis of a sample of Russian securities. The results show that classification as HLA significantly affects the market value and trading behavior of securities, especially during periods of geopolitical instability and sanctions. For example, in 2021-2022, the Russian market experienced significant fluctuations due to sanctions, which led to changes in the return and volatility of securities. Data analysis reveals significant changes in abnormal returns before and after the legislative changes.