Дослідження впливу фінансових інновацій на основні фінансові показники України

Abstract

The article researches the impact of financial innovation on the yield of government bonds based on the models of ARCH family, it is proved that the introduction of financial innovations affects government bonds. It is determined that the dynamics of volatility of many financial variables is subordinated to stable regularities. The traditional pricing model for capital assets and its dynamic modification indicate a proportional relationship between the expected over-delivery of the market portfolio and its conditional standard deviation. The ARCH model is a natural instrument for studying this problem in a dynamic context where the conditional dispersion changes over time. The results confirm the influence of the exogenous factor of diffusion of financial innovations on the yield of government bonds of market participants in all cases. So, for the government bond yield curves, there is a significant possibility of forecasting. This is a very important issue in terms of active bond trading and taking into account the risk management of the loan portfolio. The influence of information flows and messages to financial markets regarding the behavior of the rates of two main foreign currencies, namely: the Euro and the US dollar, is researched. It is determined that there is a significant influence with the introduction of financial innovation along with information of market participants on exchange rates, which is expressed by the diffusion coefficient during the period of time chosen by diffusion. It is proved that the diffusion coefficient has a significant impact on market participants in terms of average profitability and historical volatility, it is also researched that the introduction of financial innovations reduces the displacement of model coefficients and volatility. The methodology presented in this publication can be used to compare different classes of assets, indices, and financial innovations.