EVALUATION OF THE PREDICTABILITY OF PRICING IN THE STOCK MARKET OF UKRAINE

I. Storonyanska () and M. Lipych ()
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I. Storonyanska: Head of the Department of Regional Financial Policy of the Institute of Regional Studies of the National Academy of Sciences of Ukraine

Economics of Development, 2015, vol. 74, issue 2, 15-21

Abstract: The article provides an analysis of predictability of pricing in the stock market of Ukraine based on the stock index historical data and macroeconomic factors. For this purpose a statistical verification of the PFTS index was made to check whether the process is random and the efficiency of the econometric analysis applied for prediction of this index was evaluated. The stability of the stock market prediction models testifies an opportunity for an investor to apply active investment strategies to gain supermarket profits. Nonparametric and parametric statistics methods were used in the research. The series criterion was chosen out of non-parametric statistics methods to disprove the hypothesis about the random nature of the index profitability gains. The parametric statistics methods used in the research are the autoregression methods and the factor analysis of profitability. High and statistically significant values of the autoregression coefficients for pre-crisis and post-crisis periods proved a possibility of using historical data to predict the Ukrainian index profitability. The following fundamental macroeconomic factors influencing the Ukrainian market index formation were identified: financial, monetary, currency, stock and commodity markets and public investment. As a result, a cointegration model was built based on the factors of market capitalization and the amount of gold and foreign exchange reserves as those having the greatest impact on the index dinamics. The authors have drawn a conclusion about predictability of the Ukrainian index profitability and has disproved the hypothesis about the Ukrainian stock market efficiency. Changing macroeconomic factors only explains part of the market index change. Therefore, in the authors' opinion, the area for further research is identification of factors influencing price fluctuations on the domestic stock market.

Keywords: stock market; the index return; the efficient market hypothesis; predictability of prices. (search for similar items in EconPapers)
Date: 2015
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