Development of information technologies stimulates the processes of globalization. In its turn it develops the financial markets becoming more liquid, profitable, attractive and available for anyone. Financial machinations in the biggest European and American corporations forced investors to invest money into the emerging markets which are more profitable but more risky as a world practice shows. The Latvian equity market is one of such markets. Of course, it has its own features and reasons of lack of development. In this paper the authors show some advantages and disadvantages of the Latvian equity market. Despite of passivity and low liquidity of the market, the authors worked out a model based on the vector autoregressions and showed its forecasting features.