ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE

IF 0.7 Q4 BUSINESS, FINANCE
Nadiіa Dalіak, Volodymyr Naumenko, Tamara Lozynska, Tetiana Busarieva, Oksana Kazak, Halina Tolkachova
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引用次数: 0

Abstract

The validity of published research findings is related to their demand from both investors and issuers and from the side of research scientists. The methods used make it possible to determine the general trend of market movement in the direction of increasing or decreasing its efficiency. For investors, such an assessment of the efficiency of the stock and bond markets creates a basis for optimizing the allocation of assets when building portfolio strategies, and for issuers, it is the basis for building a strategy for emission activity. It is necessary to analyze the factors affecting the efficiency of the Ukrainian market and show that the illiquidity of the Ukrainian bond and stock markets has a negative impact on the overall efficiency of the market, and therefore it is necessary to increase liquidity, which is an important factor for improving the efficiency of the market. The analysis of the efficiency of stock and bond markets is presented as an impact on the markets themselves. For research scientists, the predictability of returns, or the lack of such predictability, is critical to creating models that can accurately describe risks and returns in financial markets.The paper proposes a different approach to the study of stock market efficiency, using a time-varying parameter model that can estimate indicators, efficiency and inefficiency as parameters change.
乌克兰股票市场效率和波动性的计量经济评估
已发表的研究成果的有效性与投资者和发行人以及研究科学家的需求有关。所使用的方法可以确定市场运动的总趋势在增加或减少其效率的方向。对投资者来说,这种对股票和债券市场效率的评估为在制定投资组合策略时优化资产配置创造了基础,对发行者来说,这是制定排放活动战略的基础。有必要分析影响乌克兰市场效率的因素,并表明乌克兰债券和股票市场的非流动性对市场的整体效率产生负面影响,因此有必要增加流动性,这是提高市场效率的重要因素。对股票和债券市场效率的分析是作为对市场本身的影响而提出的。对于从事研究的科学家来说,回报的可预测性,或者缺乏这种可预测性,对于创建能够准确描述金融市场风险和回报的模型至关重要。本文提出了一种不同的方法来研究股票市场的效率,使用时变参数模型,可以估计指标,效率和无效率随参数的变化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
0.60
自引率
20.00%
发文量
268
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