Source: http://fkd.org.ua/article/view/161772
Timestamp: 2019-04-25 03:55:17+00:00

Document:
The research was conducted to assess the changes in the excess return of Ukrainian stock market (using the example of the representative stock index PFTS) on the informational content of such major non-monetary signals of the USA as “Consumer Price Index”, “Personal Spending”, “Unemployment Rate”, “Gross Domestic Product”, “Industrial Production”, “Consumer Confidence” and “Housing Starts” on the basis of daily data for 2000—2017 (number of observations — 4436). We used the toolkit of vector autoregressive modelling to determine the sources of Ukrainian stock index PFTS response to the US non-monetary information signals, which is based on the decomposition of changes in stock market excess return through the channels of economic transmission (“expected future dividends”, “real interest rate” and “risk premium”) and takes into account the unexpected values of the informational context of selected non-monetary signals. Target time series are stationary according to the KPSS and ADF criteria. The results show that four of the six selected non-monetary information signals of the USA do not have a significant effect on the response of endogenous variables of econometric model. The existence of significant direct influence of US non-monetary informational signals “Personal Spending” and “Consumer Confidence” on the response of the excess return of Ukrainian stock index PFTS has been established. It is substantiated that the actual and forecast state of the USA national economy is considered by the participants of the local stock markets, in particular in Ukraine, as one of the most important sources of macroeconomic information while making strategic and tactical investment decisions. Thus, the increasing importance of the component of “surprise” of such non-monetary information signals of the USA is considered as “positive” news for the domestic stock market by investors, which increases the excess return of the stock index PFTS.
stock market; stock index; excess return; component of “surprise”; autoregressive model.
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Belgacem, A. (2013). Explaining the stock market’s reaction to macroeconomic announcements. Bankers, Markets & Investors, 123, 43—53.
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Jones, B., Lin, C.-T., Mansur, A., & Masih, A. (2005). Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets. International Review of Financial Analysis, 14 (3), 356—375.
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Khmarskyi, V., & Pavlov, R. (2017). Relation between marketing expenses and bank’s financial position: Ukrainian reality. Benchmarking: An International Journal, 24 (4), 903—933.
Sardak, S., Korneyev, M., Simakhova, A., & Bilskaya, O. (2017). Global factors which influence the directions of social development. Problems and Perspectives in Management, 15 (3), 323—333.
Zarutska, E., Pavlova, T., & Sinyuk, A. (2018). Structural-functional analysis as innovation in public governance (case of banking supervision). Marketing and Management of Innovations, 4, 349—360.
Khmarskyi, V., & Pavlov, R. (2016). Ranking system for Ukrainian banks based on financial standing. Actual Problems of Economics, 184 (10), 348—360.
Pavlova, T. S, & Bobyl, V. V. (2018). The phenomenon of negative emotions in the social existence of human. Anthropological Measurements of Philosophical Research, 14, 84—93.
Campbell, J., & Shiller, R. (1988). The dividend-price ratio and Expectations of future dividends and discount factors. Review of Financial Studies, 1 (3), 195—228.
McQueen, G., & Roley, V. V. (1993). Stockprices, news, and business conditions. Review of Financial Studies, 6 (3), 683—707.
Bernanke, B. & Kuttner, K. (2005).What explains the stockmarket’s reaction to Federal Reserve policy? Journal of Finance, 60 (3), 1221—1257.
Campbell, J., & Ammer, J. (1993).What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance, 48 (1), 3—37.
Belgacem, A., & Lahiani, A. (2013). Herding Behavior Around US Macroeconomic Announcements. Journal of Applied Business Research, 29 (5), 1401.
Fama E. F. The Behavior of Stock — Market Prices / E. F. Fama // The Journal of Business. — 1965. — № 38 (1). — Р. 34—105.
Belgacem A. Explaining the stock market’s reaction to macroeconomic announcements / A. Belgacem // Bankers, Markets & Investors. — 2013. — № 123. — P. 43—53.
Harju K. Intraday seasonalities and macroeconomic news announcements / K. Harju, S. Hussain // European Financial Management. — 2011. — Vol. 17. — № 2. — Р. 367—390.
Jones B. Macroeconomic announcements, volatility, and interrelationships: an examination of the UK interest rate and equity markets / B. Jones, C.-T. Lin, A. Mansur, A. Mashih // Іnternational Review of Financial Analysis. — 2005. — Vol. 14. — № 3. — Р. 356—375.
Nikkinen J. Impact of scheduled U.S. macroeconomic news on stock market uncertainty: A multinational perspective / J. Nikkinen, P. Sahlstom // Multinational Finance Journal. — 2001. — Vol. 5. — № 2. — Р. 129—148.
Khmarskyi V. Relation between marketing expenses and bank’s financial position: Ukrainian reality / K. Valentyn, R. Pavlov // Benchmarking: An International Journal. — 2017. — Vol. 24. — № 4. — Р. 903—933.
Sardak S. Global factors which influence the directions of social development / S. Sardak, M. Korneyev, A. Simakhova, O. Bilskaya // Problems and Perspectives in Management. — 2017. — Vol. 15. — № 3. — Р. 323—333.
Zarutska E. Structural-functional analysis as innovation in public governance (case of banking supervision) / E. Zarutska, T. Pavlova, A. Sinyuk // Marketing and Management of Innovations. — 2018. — № 4. — Р. 349—360.
Khmarskyi V. Ranking system for Ukrainian banks based on financial standing / V. Khmarskyi, R. Pavlov // Actual Problems of Economics. — 2016. — Vol. 184. — № 10. — Р. 348—360.
Pavlova T. S. The phenomenon of negative emotions in the social existence of human / T. S. Pavlova, V. V. Bobyl // Anthropological Measurements of Philosophical Research. — 2018. — № 14. — P. 84—93.
Campbell J. The dividend-price ratio and expectations of future dividends and discount factors / J. Campbell, R. Shiller // Review of Financial Studies. — 1988. — Vol. 1. — № 3. — Р. 195—228.
McQueen G. Stockprices, newsandbusinessconditions / G. McQueen, V. V. Roley // The Review of Financial Studies. — 1993. — Vol. 6. — № 3. — Р. 683—707.
Bernanke B. What explains the stock market’s reaction to Federal Reserve policy? / B. Bernanke, K. Kuttner // Journal of Finance. — 2005. — Vol. 60. — № 3. — Р. 1221—1257.
Campbell J. What moves the stock and bond markets? A variance decomposition for long-term asset returns / J. Campbell, J. Ammer // Journal of Finance. — 1993. – Vol. 48. — № 1. — Р. 3—37.
Belgacem A. Herding Behavior Around US Macroeconomic Announcements / A. Belgacem, A. Lahiani // Journal of Applied Business Research. — 2013. — Vol. 29. — № 5. — Р. 1401.

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