Influence of non-monetary information signals of the USA on the Ukrainian stock market volatility

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The 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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    • Table 1. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of the PFTS stock index
    • Table 2. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on the PFTS stock index
    • Table 3. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of stock prices of enterprises of Ukraine in the economic sector “Basic Materials”
    • Table 4. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on stock quotes of enterprises of the economic sector “Basic Materials”
    • Table 5. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of stock prices of enterprises of Ukraine in the economic sector “Oil & Gas”
    • Table 6. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on stock quotes of enterprises of the economic sector “Oil & Gas”
    • Table 7. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of stock prices of enterprises of Ukraine in the economic sector “Utilities”
    • Table 8. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on stock quotes of enterprises of the economic sector “Utilities”
    • Table 9. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of stock prices of enterprises of Ukraine in the economic sector “Financials”
    • Table 10. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on stock quotes of enterprises of the economic sector “Financials”
    • Table 11. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of stock prices of enterprises of Ukraine in the economic sector “Telecommunications”
    • Table 12. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on stock quotes of enterprises of the economic sector “Telecommunications”
    • Table 13. The influence of the component of “surprise” on non-monetary information signals of the USA on the volatility of stock prices of enterprises of Ukraine in the economic sector “Industrials”
    • Table 14. The results of testing the hypotheses H0, H1, H2 regarding the nature of the influence of the component of the “surprise” of non-monetary information signals on stock quotes of enterprises of the economic sector “Industrials”