Anna Lemberg
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Influence of non-monetary information signals of the USA on the Ukrainian stock market volatility
Roman Pavlov , Tetiana Pavlova , Anna Lemberg , Oksana Levkovich , Iryna Kurinna doi: http://dx.doi.org/10.21511/imfi.16(1).2019.25Investment Management and Financial Innovations Volume 16, 2019 Issue #1 pp. 319-333
Views: 1087 Downloads: 114 TO CITE АНОТАЦІЯThe Ukrainian PFTS stock index volatility reaction as a whole and its constituent economic sectors (“Basic Materials”, “Financials”, “Industrials”, “Oil & Gas”, “Telecommunications”, “Utilities”) to seven non-monetary US information signals (“Consumer price index”, “Personal spending”, “Unemployment rate”, “Gross domestic product”, “Industrial production”, “Consumer confidence”, “Housing starts”) was carried out for the period 2000–2017 on the basis of closing stock quotations in the trading day format. To assess the “surprise” component direct influence nature of the USA selected non-monetary information signals on the PFTS stock index, an AR-GARCH econometric modelling device was used. The results achieved clearly indicate the presence of some PFTS stock index economic sectors heterogeneous reaction to the United States individual non-monetary information signals announcement. For example, such economic sectors as “Basic Materials”, “Financials”, and “Oil & Gas” volatility response to the US non-monetary information signal “Consumer price index” “surprise” components the opposite of the overall PFTS stock index reaction. It can also be concluded that the United States non-monetary information signals influence on the Ukrainian stock market volatility depends not only on the financial cycle phase and data frequency, but also on the PFTS stock index economic sector.
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