Даляк, Н. and Науменко, В. and Лозинська, Т. and Бусарєва, Т. and Казак, Оксана Олексіївна and Толкачова, Г. (2023) Econometric assessment of the efficiency and volatility of the stock market in Ukraine Financial and credit activity: problems of theory and practice (5(52)). pp. 150-161. ISSN 2306-4994; 2310-8770
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Abstract
The validity of published research findings is related to their demand from both investors and issuers, and from the side of research scientists. The methods used make it possible to determine the general trend of market movement in the direction of increasing or decreasing its efficiency. For investors, such an assessment of the efficiency of the stock and bond markets creates a basis for optimizing the allocation of assets when building portfolio strategies, and for issuers, it is the basis for building a strategy for emission activity. It is necessary to analyse the factors affecting the efficiency of the Ukrainian market and show that the illiquidity of the Ukrainian bond and stock markets has a negative impact on the overall efficiency of the market, and therefore it is necessary to increase liquidity, which is an important factor for improving the efficiency of the market. The analysis of the efficiency of stock and bond markets is presented as an impaction of the markets themselves. For research scientists, the predictability of returns, or the lack of such predictability, is critical to creating models that can accurately describe risks and returns in financial markets. The paper proposes a different approach to the study of stock market efficiency, using a time-varying parameter model that can estimate indicators, efficiency, and inefficiency as parameters change.
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