Modeling the segment interactions of Ukraine’s financial market
Date
2020
Journal Title
Journal ISSN
Volume Title
Publisher
LLC «Consulting Publishing Company «Business Perspectives»
Abstract
This study is devoted to assessing the level of individual segments interconnectedness
within the financial market of Ukraine (FMU) and their dynamics in uncertain conditions.
The methodology of the systematic approach is used to investigate the dynamic
relationship between individual segments of the financial market of Ukraine, namely
credit (deposit-credit) market, stock market (market of securities), government securities
market, currency market, and interbank market. The study of financial market dynamics
focuses on the description of the price indicators of individual market segments,
which are monitored using time series analysis and statistical methods. The results of
the time series assessment revealed the fractal characteristics of the Ukrainian financial
market as a measure of sustainability (namely inertia). It is revealed that all segments of
the financial market, except credit, are characterized by persistence. It is established that
the development of market segments is uneven and is characterized as bifurcation. The
credit segment is addicted to insider behavior and has the highest risk concentration. It
is revealed that the foreign exchange market is still in crisis. The results of modeling the
correlation relationships between market segments have shown that, in the presence
of such relationships, they differ in the strength and nature of the interaction. They are
volatile, unstable, and situational, dependent on external conditions. The credit market
has a relationship with other segments, not significantly strong but stable. The results
of the analysis indicate the dynamic development of segments within the Ukrainian
financial market in the presence of interconnections between them.
Description
Keywords
price indicators, credit market, interconnectedness, integration, correlation, fractality, market persistence, market memory
Citation
Modeling the segment interactions of Ukraine’s financial market / Liudmyla Prymostka, Іryna Krasnova, Ganna Kulish [et al.] // Investment Management and Financial Innovations. – 2020. – Vol. 17, Is. 2. – P. 101–112.