Оценка влияния масштабов национальных фондовых рынков и различных кризисных явлений в экономике на уровень рисков операций с финансовыми инструментами
Аннотация
Предмет. В академической дискуссии, посвященной особенностям финансовых кризисов центральное место занимает анализ исторических паттернов волатильности. Большинство исследователей указывают на то, что для финансовых кризисов характерны продолжительные по времени сильные флуктуации на фондовых рынках. Подобная реакция на кризисные явления в экономике наблюдается на протяжении известной финансовой истории. Поиск движущих сил, стимулирующих именно такое поведение, вызывает интерес как в академических кругах, так и у участников фондовых рынков.
Цель. Изучение влияния масштабов национальных фондовых рынков и различных кризисных явлений в экономике на уровень рисков операций с финансовыми инструментами.
Методология. Идентификация скрытых режимов проводилась с использованием моделей с Марковскими переключениями. В основу определения скрытых рыночных состояний положено соотношение компонент финансовой турбулентности, характеризующих изолированные изменения корреляционного риска и волатильности. Оценка влияния масштаба фондовых рынков на показатели доходности и риска операций с финансовыми инструментами производилась с помощью модели векторной авторегрессии.
Результаты. Оценка влияния кризисных явлений в экономике на числовые характеристики избыточной доходности крупнейших мировых фондовых рынков с использованием двухрежимных моделей с Марковскими переключениями выявила значимые различия в поведении фондовых рынков на различных отрезках времени. В работе установлено, что в периоды, сопровождающиеся кризисными явлениями в экономике, доминирующим на рынке режимом является режим высокой волатильности. Комбинируя типичные и атипичные значения компонент финансовой турбулентности, выявлены четыре скрытых состояния рынка, которые предоставляют дополнительную информацию о грядущем изменении или сохранении действующего на рынке режима. Для рынков с высокой капитализацией характерны односторонние каузальные связи. Приспособление рынков к шокам рынка США происходит почти вдвое медленнее, чем к шокам развивающихся рынков.
Выводы. Выявленные зависимости позволяют повысить объяснительный и прогностический потенциал статистического анализа рисков на национальных фондовых рынках.
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Литература
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