Кафедра фінансів

Permanent URI for this collection

https://ekmair.ukma.edu.ua/handle/123456789/12138

Browse

Browsing Кафедра фінансів by Author "Butylo, Denys"

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    Impact of shocks on stock markets: comparative analysis for alternative investment asset classes
    (ВШЕМ – ХНЕУ ім. С. Кузнеця, 2023) Kaminskyi, Andrii; Butylo, Denys
    The shocks in stock markets are a recurrent phenomenon which is evidenced by sharp and deep deviations of market parameters. This usually leads to destabilization of the entire market during a certain period. The recovery of the market which begins after the shock can be realized by different forms and periods. From a theoretical and methodological point of view, shocks are unpredictable events that do not fall under the semistrong level of market efficiency (according to E.Fama approach), which developed markets typically characterized. Within these limits, we applied a statistical approach to event-analysis of the impact of shocks on alternative investment assets. The alternative investment market has been actively developing in the last decade and its further dynamics generates significant interest among investors. Today, this asset class is actively used by investors in the formation of portfolios. The advantage of this approach is explained by the relatively weak level of interdependence with the market of traditional assets. We used ETF-based approach for analysis. As part of this approach, splitting ETFs into a certain number of classes related to the different nature of alternative assets was involved. As initial point for the study, we formulated three hypotheses regarding the behavior of investors in conditions of shock and reformatting of portfolios. To test the hypotheses, a group of indicators was formed that, in numerical form, reflect the effects assumed in the hypotheses. The indicators were calculated for two shocks of financial markets generated by external factors for the market. The first was the shock caused by the pandemic generated by the Covid-19 virus dissemination. The second was the shock generated by Russia's full-scale invasion of Ukraine. The analysis of the obtained numerical estimates confirmed the hypotheses put forward by us. The market for alternative assets has significantly adjusted for both shocks. But the type of reaction differed between these two shocks and different classes of ETFs. The study identified classes that demonstrated a strong response and those that showed a weak response. The economic substantiation of the obtained results is provided.