Opis

• Title:
  The Relationship Between World and Local Stock Indices
• Creator:
  Blahun, Ivan;
  Blahun, Ivan I.
• Contributor:
  Department of Operational Research, Faculty of Economics and Sociology, University of Lodz, Poland;
  Vasyl Stefanyk Precarpathian National University, Ukraine;
  blagun@email.ua
• Description:
  The article presents the results of the study on the impact of stock indices of world exchange on the indices of local exchanges through the example of the Ukrainian stock index. The purpose of the article was to confirm the hypothesis of the existing influence of the indexes of world stock exchanges on the indices of local stock exchanges. Time series of Standard & Poor's Global Ratings, NIKKEI 225, FTSE, DAX, WIG and PFTS stock indices were used for the study for the period from 2010 to 2017. On the basis of the analysis of the parameters of descriptive statistics, the relationship between the indicated indices with different levels of narrowness was determined. Using the Sharpe model, the absolute risk of the PFTS index was determined as the sum of specific and systematic risks. To test the time series for stationary, the expanded Dickie-Fuller test and the Phillips-Perron test were used. It has been determined that the analysed time series are the rows characterized by non-stationary and random roaming series, while the S & P index has the most powerful trend, and WIG and FTSE have weaker trends. The hypothesis was put forward about the fact that world exchanges form the conjuncture on local exchanges, in particular Ukrainian exchange, which is confirmed by the results of the Granger causality test, as well as by cointegration tests.
• Object availability:
  Dostęp otwarty
• Rights:
  Uznanie autorstwa-Użycie niekomercyjne 4.0 Międzynarodowe;
  http://creativecommons.org/licenses/by-nc/4.0
• Date:
  2021.11.29;
  2020
• Type:
  Article
• Language:
  angielski
• Format:
  application/pdf
• Publisher:
  ELIT - Economic Laboratory for Transition Research, Podgorica, Montenegro; University of Montenegro - Faculty of Economics Podgorica
• Relation:
  Montenegrin Journal of Economics;16;
  1
• Subject:
  stock market;
  stock indices;
  stock exchange;
  cointegration
• Identifier:
  1800-5845;
  http://hdl.handle.net/11089/39923 ;
  1800-6698;
  10.14254/1800-5845/2020.16-1.4
• Data provider:
  Repozytorium Uniwersytetu Łódzkiego
• Can I use it?:
  poproś o pozwolenie
• Type:
  obrazy