Abstract
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.
Highlights
The impact of non-monetary information signals on the stock market returns is of high interest both for investors and scientists
Based on the use of daily quotations, it has been established that the reaction of the Ukrainian The results suggest that the reaction of volatility stock market volatility under the influence of to the component “surprises” on non-US informa
The volatility response of the “Basic Materials”, “Financials”, and “Oil & Gas” sectors to the “Consumer price index” signal is the opposite of the overall PFTS index
Summary
The impact of non-monetary information signals on the stock market returns is of high interest both for investors and scientists. In particular, Jones et al (2005), the conclusion is made about the stabilizing effect of the informational context of non-US signals “surprise” component, the publication of which allows predicting the future parameters of the banking regulators’ monetary policy. In this case, we can speak of a potential decrease in the level of uncertainty for a particular stock market. During this study, testing will be conducted on the basis of event analysis in order to identify: 1. peculiarities of Ukrainian stock market volatility reaction as a whole to the “surprise” component of non-monetary information signals of the USA; 2. features of the stock prices reaction of enterprises issuing certain economic sectors’ PFTS stock index
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