Influence of monetary information signals of the USA on the Ukrainian stock market


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The stronger the level of economic integration between countries, the greater the need to study the formation patterns of the stock market reaction to the financial information signals. This concerns the Ukrainian stock market, which is now in its infancy, and which reaction to financial information signals is sometimes ambiguous. The research aims to identify the formation patterns of return and volatility indicators of the Ukrainian stock market reaction to the US financial information signals. To assess the direct nature of US financial information signals effect on the PFTS stock index, the GARCH econometric modeling toolkit was applied. The research information base is the PFTS stock index and the Federal Reserve System financial information signals at the discount rate for 2000–2019. The fetch is divided into intervals corresponded to the ascent and decline phases of the financial cycle. It was found that an unforeseen increase in the discount rate at the financial cycle decline phase by 25 basis points decreases the PFTS stock index return, on average by 2.9%. Besides, the hypothesis about the general change stabilizing effect in the discount rate on the Ukrainian stock market volatility at the financial cycle growth phase was confirmed. Nevertheless, for investors, the most essential is the regulator’s monetary signals in the discount rate at the financial cycle decline phases rather than at the ascent phases because there is a more significant increase in the volatility level.

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    • Figure 1. The cyclical fluctuations phases on the Ukrainian stock market (based on the PFTS stock index) from January 8, 2004 to December 27, 2019
    • Conceptualization
      Roman Pavlov, Oksana Levkovich
    • Formal Analysis
      Roman Pavlov, Tetiana Grynko, Tetiana Pavlova
    • Investigation
      Roman Pavlov, Oksana Levkovich, Dariusz Pawliszczy
    • Methodology
      Roman Pavlov, Tetiana Pavlova, Oksana Levkovich
    • Validation
      Roman Pavlov, Tetiana Pavlova, Oksana Levkovich
    • Visualization
      Roman Pavlov, Tetiana Grynko, Dariusz Pawliszczy
    • Writing – original draft
      Roman Pavlov, Tetiana Pavlova
    • Writing – review & editing
      Roman Pavlov, Tetiana Pavlova, Dariusz Pawliszczy
    • Data curation
      Tetiana Grynko
    • Project administration
      Tetiana Grynko, Dariusz Pawliszczy
    • Supervision
      Tetiana Grynko, Dariusz Pawliszczy