14:0020.09.201709.2017с 01.01.2017

Studying the Stock Market of Ukraine with the Use of the Event Analysis

Malyshenko K.A.

№1 (49), 2017,  rubric "Public finances".

Malyshenko, K.A. Studying the Stock Market of Ukraine with the Use of the Event Analysis [Text] / K.A. Malyshenko // Economic and social changes: facts, trends, forecast. – 2017. – № 1. – C. 235-253. – DOI: 10.15838/esc.2017.1.49.13

DOI: 10.15838/esc.2017.1.49.13

Abstract   |   Authors   |   References
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. Among the authors most notable for their recent works on this topic it necessary to mention N. Tuma, M. Hannan, O. Humpage and others. In their studies they reveal quite comprehensively the importance of the event analysis for forecasting purposes, the connection of this type of analysis to the hypothesis of market efficiency, its methods and approaches. However, there are several urgent tasks to be solved in this study: discovering the connection between the event and the change in the exchange rate, identifying possible reactions of the market to different types of events, and defining concepts such as event, event profile and event analysis of the stock market. Since economic or political events can influence the behavior of the market during the time period lasting up to several weeks, months, and even years, it is obvious that the use of fundamental analysis is justified only given the long-term forecasting. The value position of the author on the subject consists in enhancing investors’ confidence in the domestic stock market, increasing its transparency and, consequently, liquidity. This approach forms the basis for the creation of a new subject area for analyzing the impact of events on stock dynamics


efficient market hypothesis (EMH); elasticity; stock market; efficient marke; information efficiency

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