Modeling the segment interactions of Ukraine’s financial market

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This study is devoted to assessing the level of individual segments interconnectedness within the financial market of Ukraine (FMU) and their dynamics in uncertain conditions. The methodology of the systematic approach is used to investigate the dynamic relationship between individual segments of the financial market of Ukraine, namely credit (deposit-credit) market, stock market (market of securities), government securities market, currency market, and interbank market. The study of financial market dynamics focuses on the description of the price indicators of individual market segments, which are monitored using time series analysis and statistical methods. The results of the time series assessment revealed the fractal characteristics of the Ukrainian financial market as a measure of sustainability (namely inertia). It is revealed that all segments of the financial market, except credit, are characterized by persistence. It is established that the development of market segments is uneven and is characterized as bifurcation. The credit segment is addicted to insider behavior and has the highest risk concentration. It is revealed that the foreign exchange market is still in crisis. The results of modeling the correlation relationships between market segments have shown that, in the presence of such relationships, they differ in the strength and nature of the interaction. They are volatile, unstable, and situational, dependent on external conditions. The credit market has a relationship with other segments, not significantly strong but stable. The results of the analysis indicate the dynamic development of segments within the Ukrainian financial market in the presence of interconnections between them.

Acknowledgment
The study was conducted within the framework of the State Budget of the Kyiv National Economic University named after Vadym Hetman on the topic “Innovative development of banking activities in the integrated financial environment” (state registration number 0117U001178).

 

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    • Figure 1. Logical and structural diagram of the process of studying the interaction of segments of the financial market in Ukraine
    • Figure 2. Dynamics of the main price indicators of individual segments of FMU for the period 2010–2018
    • Figure 3. Dynamics of key indicators of FMU segments
    • Table 1. Assessment of the reliability of correlation relationships between segments of the Ukrainian financial market
    • Table 2. Key indicators for assessing the persistence and fractality of Ukrainian financial market segments
    • Table 3. Statistical characteristics of fractality of individual segments of the Ukrainian financial market
    • Table 4. Quantitative estimation of trends of financial market segments of Ukraine using correlation-regression analysis
    • Table 5. Matrix of paired correlation coefficients characterizing relationships between FMU segments in 2010–2018
    • Conceptualization
      Liudmyla Prymostka, Іryna Krasnova
    • Methodology
      Liudmyla Prymostka, Іryna Krasnova, Valentyna Shevaldina
    • Supervision
      Liudmyla Prymostka, Іryna Krasnova, Ganna Kulish
    • Writing – original draft
      Liudmyla Prymostka, Іryna Krasnova, Ganna Kulish
    • Writing – review & editing
      Liudmyla Prymostka, Іryna Krasnova, Andrii Nikitin
    • Formal Analysis
      Іryna Krasnova, Ganna Kulish, Andrii Nikitin
    • Investigation
      Ganna Kulish, Valentyna Shevaldina
    • Project administration
      Ganna Kulish, Andrii Nikitin
    • Data curation
      Andrii Nikitin, Valentyna Shevaldina
    • Visualization
      Andrii Nikitin, Valentyna Shevaldina