THE DECOMPOSITION OF CHANGES OF THE EXCESS RETURN OF THE PFTS INDEX: THE DEFINITION CHANNELS OF INFLUENCE OF ECONOMIC INFORMATION SIGNALS

Abstract

Purpose. The work is devoted to determining the characteristic features of the impact of USA economic information signals through transmission channels to the components of the decomposition of excess returns of the Ukrainian stock market (using the example of the PFTS index). Methodology. To identify the parameters of changes in the excess yield of the Ukrainian stock market in reactions to economic information signals, vector autoregression modeling was applied. The selection of the VAR (3) model was justified according to the AIC and SIC information criteria. Results. It was found that only the variable excess return (with a lag of 3) allows us to predict a certain proportion of future changes in the yield of the PFTS index. However, the R² coefficient shows that the variables involved can explain only about 7% of the change in the excess returns of the PFTS index, which confirms the rather low predictability of the Ukrainian stock market. Based on the decomposition of excess returns on the PFTS index from 2000 to 2017 (trading day format) it was revealed that the Ukrainian stock market is sensitive to information signals for future excess returns, since more than 89% of its total change can be explained by the influence directly through the risk premium channel. The influence of the USA consumer confidence index on the excess yield of the Ukrainian PFTS index via the risk premium channel has also been established, which confirms the assumption that the «surprise effect» of USA macroeconomic signals may be a risk factor for the Ukrainian stock market. Scientific novelty. A methodical approach was developed to determine the response parameters of the components of the excess return of the PFTS index on the «surprise effect» informational content of USA macroeconomic signals. Practical significance. Using this methodical approach will improve the accuracy of financial forecasting of the reaction parameters of the price quotations of the domestic stock market to the publication of USA macroeconomic information signals, which will enable investors (private and institutional) to increase the profitability of their own investment strategies.