Studying the stock market of Ukraine with the use of the event analysis
Автор: Malyshenko Konstantin Anatolevich
Журнал: Economic and Social Changes: Facts, Trends, Forecast @volnc-esc-en
Рубрика: Public finance
Статья в выпуске: 1 (49) т.10, 2017 года.
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The study presents basic principles of the event analysis developed for the purpose of improving the forecasting of market conditions. The aim of the study is to create the theoretical foundations of the event analysis of the stock market and their empirical substantiation. This type of analysis will make it possible to take into consideration the general trends in the stock market more comprehensively. For this purpose, the authors present the mathematical tools of the study, disclose the theoretical basis and genesis of the method proposed. In addition, the article contains the statistical analysis of the stock market performed with the use of traditional statistical methods and with the tools of the event analysis, first of all, the information elasticity. Empirical testing on the data on exchange rates and PFTS and the Ukraine Stock Exchange indices allowed the authors to establish the connection between events and changes in the indices, to identify several cases of excessive response that may be indicative of insider influence...
Efficient market hypothesis (emh), elasticity, stock market, efficient market, information efficiency
Короткий адрес: https://sciup.org/147223908
IDR: 147223908 | DOI: 10.15838/esc.2017.1.49.13
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