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Journal: Bulletin of Taras Shevchenko National University of Kyiv. Economics (Vol.153, No. 12)

Publication Date:

Authors : ;

Page : 111-114

Keywords : stock index; flexibleness; correlation matrix; the international investment position of Ukraine; exchange rate;

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Dynamics of stock index is an indicator of market efficiency. We use the strong form of market efficiency, where prices reflect all available information, ? both public and private. National index PFTS and main world indexes such as Dow Jones industrial, Standard Poor's 500, Nasdaq composite, Japan's Nikkei index, Hong Kong's Hang Seng index are very volatility. Last week all of the major U.S. stock indexes were in the red. Data dependence index PFTS from many exogenous and internal factors is analyzed in the article. The main exogenous factors are Dow Jones industrial, Nasdaq composite, growth rate of world GDP, price of gold, price of oil. The main internal factors are the exchange rate, the international investment position of Ukraine, the external debt of Ukraine. Index PFTS is malleable from the international investment position, the exchange rate and the price of gold. It is very difficult to forecast the dynamic of stock index. There is an approximation error. It is 6,82%. It is less than 10% and it is allowable. The econometric model makes it possible to predict the dynamics of the PFTS on the next years. But we must have in mind asymmetry of information and moral hazard.

Last modified: 2016-08-10 21:25:34