THE CORRECTNESS OF THE CAPM-MODEL APPLICATION IN THE UKRAINIAN REALITY IN TERMS OF INVESTORS FINANCIAL SECURITY

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Published: Jun 7, 2018
https://doi.org/10.30525/2256-0742/2018-4-1-163-168

  Liudmyla Zakharkina

  Maryna Abramchuk

Abstract

Purpose. The purpose of this article is the research of correctness of CAPM-model application in the Ukrainian stock market and the analysis of the time factor’s influence on the results of this model application. This problem acquires a special relevance for the provision of the investors’ financial security, who act in the conditions of significant uncertainty and high risk of the Ukrainian stock market. Methodology. In this work, methods of dynamic lines’ analysis, statistical, structural, comparative, correlation-regressive analysis were used. As the initial data during the research of profitability of the Ukrainian enterprises’ shares, the data of the exchanging prices of the Ukrainian emitters’ securities, according to the results of the trades in the Public JSC “Ukrainian Exchange”, were used. Results. Contemporary approaches to the CAPM-model application in the markets, which are being developed, were analysed. As the result of this analysis, it was revealed that most of the scientific researches in this area emphasize incorrectness and unreliability of the results as to the prediction of the profitability indexes on such markets. Calculation of the β-coefficient for the Ukrainian emitters’ securities for the various investments’ horizon periods was done. The results of the calculation showed that the value of the β-coefficient varies greatly on the terms of investment and is not of the strictly consistent pattern. Stock market profitability per month based on UX-index and considering the investment horizon period was calculated. The expected profitability of the Ukrainian emitters’ securities was distinguished and compared to their real rate of returns. During the profitability analysis in the investment intervals, exponential moving average with its further shift for a month was used. It gave an opportunity to distinguish an average monthly profitability in the various investment horizon periods (1 till 12 months). Practical significance. The application of the suggested approach can become an additional technique for the estimation of the investment attractiveness of securities of the stock market emitters in the various investment horizon periods that, in its turn, will increase the safety of such investment. Conclusions. The conclusion was made as to the correctness of the CAPM-model application in the Ukrainian reality, according to which it is almost impossible to define the exact regularity of the behaviour of indexes of the expected and real profitability depending on the investment horizon period. It casts doubt on the possibility of the appropriate and correct application of the CAPMmodel in the Ukrainian stock market. This conclusion, in general, coincides with the conclusions of many scientists, who conducted similar researches in the stock markets of other developing countries.

How to Cite

Zakharkina, L., & Abramchuk, M. (2018). THE CORRECTNESS OF THE CAPM-MODEL APPLICATION IN THE UKRAINIAN REALITY IN TERMS OF INVESTORS FINANCIAL SECURITY. Baltic Journal of Economic Studies, 4(1), 163-168. https://doi.org/10.30525/2256-0742/2018-4-1-163-168
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Keywords

stock market, profitability, beta-coefficient, stock index, investment horizon

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Issue
Vol. 4 No. 1 (2018): Baltic Journal of Economic Studies