APPROACHES TO ASSESSING THE EFFICIENCY OF THE UKRAINIAN STOCK MARKET
DOI:
https://doi.org/10.17721/1728-2667.2025/226-1/3Keywords:
stock market, market efficiency, capital markets, efficient markets hypothesis, adaptive markets hypothesis, approaches, random walk hypothesisAbstract
B a c k g r o u n d . An essential condition for the development of the national stock market is the availability of relevant theoretical and methodological approaches to analyzing and evaluating its efficiency. The study aims to determine approaches to assessing the efficiency of the Ukrainian stock market by empirically testing the random walk hypothesis for the UX and WIG-Ukraine indices and establishing the feasibility of applying the hypotheses of efficient and adaptive markets.
M e t h o d s . The study employs general scientific methods, including theoretical analysis, comparison, and grouping, to systematize approaches to stock market efficiency assessment. The variance ratio test is applied as a statistical method to verify the random walk hypothesis using the UX and WIG-Ukraine indices, thereby evaluating the relevance of efficient and adaptive market hypotheses in the context of Ukraine's stock market.
R e s u l t s . The existing theoretical and methodological approaches to the comprehensive assessment of stock market efficiency are considered and their key differences are identified. Calculations of the variance ratio test for the UX and WIG-Ukraine indices as the main indicators of the stock market of Ukraine are carried out. The peculiarities of the price behavior of the UX and WIG-Ukraine indices at different time periods are allocated, which is necessary to test the random walk hypothesis and further determine the relevance of applying the efficient markets hypothesis and the adaptive markets hypothesis in the context of assessing the efficiency of the domestic stock market.
C o n c l u s i o n s . The study establishes the use of the hypothesis of efficient markets and the hypothesis of adaptive markets as theoretical and methodological approaches in the foreign scientific literature for a comprehensive analysis of the peculiarities of the functioning of global and national stock markets. The use of individual statistical models to assess the efficiency of the domestic stock market, including the analysis of concentration, price anomalies, risks, volatility and persistence, has been identified. The expediency of combining the hypothesis of efficient markets and the hypothesis of adaptive markets to analyse the efficiency of the national stock market is determined, due to the variability of market efficiency and inefficiency at different time intervals for the UX and WIG-Ukraine indices.
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