Econometric assessment of the efficiency and volatility of the stock market in Ukraine
Date
2023
Authors
Lozynska, T. M.
Даляк, Н.
Науменко, В.
Лозинська, Тамара Миколаївна
Бусарєва, Т.
Казак, О.
Толкачова, Г.
Journal Title
Journal ISSN
Volume Title
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Abstract
The validity of published research findings is related totheir demand from both investorsand issuers and from the side of research scientists. The methods used make it possibleto 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 stockand bond markets creates a basis for optimizing the allocation of assets when buildingportfolio 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 itis necessary toincrease liquidity, which is an important factor for improving the efficiency of the mar- ket. The analysis of the efficiency of stock and bondmarkets is presented as an impacton the markets themselves. For research scientists, the predictability of returns, or thelack of such predictability, is critical to creating models that can accurately describe risksand returns in financial markets.
Description
Dalіak N., Naumenko V., Lozynska T., Busarieva T., Kazak O., Tolkachova H. Econometric assessment of the efficiency and volatility of the stock market in Ukraine. Financial and credit activity: problems of theory and practice = Фінансово-кредитна діяльність: проблеми теорії та практики. 2023. Vol. 5 (52). P. 150—162.
Keywords
Stock market, shares, bonds, volatility, econometric model, index