ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE
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 inves...
| Main Authors: | , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
FINTECH Alliance LLC
2023-10-01
|
| Series: | Фінансово-кредитна діяльність: проблеми теорії та практики |
| Subjects: | |
| Online Access: | https://fkd.net.ua/index.php/fkd/article/view/4110 |
| _version_ | 1797644511412748288 |
|---|---|
| author | Nadiіa Dalіak Volodymyr Naumenko Tamara Lozynska Tetiana Busarieva Oksana Kazak Halina Tolkachova |
| author_facet | Nadiіa Dalіak Volodymyr Naumenko Tamara Lozynska Tetiana Busarieva Oksana Kazak Halina Tolkachova |
| author_sort | Nadiіa Dalіak |
| collection | DOAJ |
| description |
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.
|
| first_indexed | 2024-03-11T14:31:32Z |
| format | Article |
| id | doaj.art-cabb10bcaf4346f9bbd663fa53f160b7 |
| institution | Directory Open Access Journal |
| issn | 2306-4994 2310-8770 |
| language | English |
| last_indexed | 2024-03-11T14:31:32Z |
| publishDate | 2023-10-01 |
| publisher | FINTECH Alliance LLC |
| record_format | Article |
| series | Фінансово-кредитна діяльність: проблеми теорії та практики |
| spelling | doaj.art-cabb10bcaf4346f9bbd663fa53f160b72023-10-31T08:22:19ZengFINTECH Alliance LLCФінансово-кредитна діяльність: проблеми теорії та практики2306-49942310-87702023-10-0155210.55643/fcaptp.5.52.2023.4110ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINENadiіa Dalіak 0Volodymyr Naumenko 1Tamara Lozynska 2Tetiana Busarieva 3Oksana Kazak4Halina Tolkachova5Candidate of Economy Sciences, Associate Professor of the Department of Entrepreneurship and Marketing, Ivano-Frankivsk National Technical University of Oil and Gas, Ivano-Frankivsk, UkrainePhD Student of Entrepreneurship and Marketing, Ivano-Frankivsk National Technical University of Oil and Gas, Ivano-Frankivsk, UkraineD.Sc. in Public Administration, Professor, Head of the Department of Public Administration and Administration, Poltava State Agrarian University, Poltava, UkraineD.Sc. in Economics, Associate Professor of the Department of World Economy, State University of Trade and Economics, Kyiv, UkraineCandidate of Economy Sciences, Associate Professor of the Department of Finance, Borys Grinchenko Kyiv University, Kyiv, UkraineCandidate of Economy Sciences, Associate Professor of the Department of Economics and Digital Business, State University of Intellectual Technologies and Communications, Odesa, Ukraine 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. https://fkd.net.ua/index.php/fkd/article/view/4110stock marketsharesbondsvolatilityeconometric modelindex |
| spellingShingle | Nadiіa Dalіak Volodymyr Naumenko Tamara Lozynska Tetiana Busarieva Oksana Kazak Halina Tolkachova ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE Фінансово-кредитна діяльність: проблеми теорії та практики stock market shares bonds volatility econometric model index |
| title | ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE |
| title_full | ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE |
| title_fullStr | ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE |
| title_full_unstemmed | ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE |
| title_short | ECONOMETRIC ASSESSMENT OF THE EFFICIENCY AND VOLATILITY OF THE STOCK MARKET IN UKRAINE |
| title_sort | econometric assessment of the efficiency and volatility of the stock market in ukraine |
| topic | stock market shares bonds volatility econometric model index |
| url | https://fkd.net.ua/index.php/fkd/article/view/4110 |
| work_keys_str_mv | AT nadiíadalíak econometricassessmentoftheefficiencyandvolatilityofthestockmarketinukraine AT volodymyrnaumenko econometricassessmentoftheefficiencyandvolatilityofthestockmarketinukraine AT tamaralozynska econometricassessmentoftheefficiencyandvolatilityofthestockmarketinukraine AT tetianabusarieva econometricassessmentoftheefficiencyandvolatilityofthestockmarketinukraine AT oksanakazak econometricassessmentoftheefficiencyandvolatilityofthestockmarketinukraine AT halinatolkachova econometricassessmentoftheefficiencyandvolatilityofthestockmarketinukraine |