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Estimation of macroeconomic indices effect on stock PFTS index dynamics

Author(s): Valentina Andrienko

Journal: Socìalʹno-ekonomìčnì Problemì ì Deržava
ISSN 2223-3822

Volume: 8;
Issue: 1;
Start page: 31;
Date: 2013;
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Keywords: modeling stock market | factor analysis | main components method | regressive analysis

The article analyses macroeconomic indices effect on the Ukrainian stock PFTS index, on the basis of multidimensional statistical analysis. The annual values of eight indices for the period of 1997-2012 were taken as initial data. Generalized factors were selected by main components method. Statistical estimation of solution reliability of this method has been done. Statistically significant and adequate linear model representing interrelation of PFTS and main factors was obtained by the regressive analysis. As factors can be easily expressed by means of initial macroeconomic indices, this model can be used to estimate their effect upon PFTS index dynamics. Regressive model parameters reflect this effect. In addition, the results obtained enable to draw conclusions about the state of national economy and stock exchange. The model is designed to upgrade efficiency of investment decision making methods and perfection of the economy and stock market interaction mechanism.
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