Informacinio efekto tyrimas išsivysčiusių ir kylančių šalių akcijų rinkose

LTStraipsnyje siekiama nustatyti informacijos efekto įtaką išsivysčiusių ir kylančių šalių akcijų rinkoms. Darbe atlikta išsivysčiusių šalių fondų (Niujorko, Frankfurto, Paryžiaus, Londono) ir kylančių šalių VP biržų (Šanchajaus, Varšuvos, Vilniaus) indeksų pokyčių palyginamoji analizė, panaudojus matematinės statistikos metodus, įvertinta priklausomybė tarp tyrimui pasirinktų rinkų indeksų. Analizuojant tyrimams pasirinktų akcijų rinkų indeksų reakciją į esminius įvykius, nustatyta, jog išvystytų šalių akcijų rinkos greičiau ir didesniu mastu reaguoja į globalius bei regioninius įvykius nei kylančios akcijų rinkos.

ENReview of scientifical literature proves that major financial models are based on efficient market prerequisite. It means that market prices quickly and accurately reflect all available information. While testing market efficiency, until now the largest attention has been paid to the U.S., major European stock markets and emerging stock markets such as Latin America’s and Southeast Asia’s markets. By contrast, there are a few existing studies on market efficiency for both developed and emerging markets. However, the analysis of empirical research shows that the authors provide contradictory results and evaluate the stock markets performance differently. The purpose of this article is to test information effect influence on developed and emerging stock markets, comparing market indexes change tendencies. In order to determine the information effect influence on stock markets of the different development level, the study was carried out in the following stages: first, functional characteristics comparison of selected stock exchanges (New York, Paris, Frankfurt, London, Nasdaq OMX Vilnius, Warsaw and Shanghai) was made in terms of market capitalization and turnover rates; second, a comparative analysis of developed and emerging stock market indexes change tendencies was used; and third, correlation coefficients between selected stock market indexes were calculated. Comparison results of the chosen countries’ market capitalization on GDP, and stock exchange total turnover on GDP ratios for 2007-2011 years showed that there is still a large gap between developed and emerging stock markets. Low values of ratios unambiguously predicate about inactivity, illiquidity and small capitalization of both the Lithuanian and Polish capital markets. Meanwhile, the performance of Shanghai stock exchange indicated that emerging stock markets exhibit a higher level of risk of the investment environment and the uncertainty, as well.In addition, the developed stock markets are recovering faster from the economic downturn than the emerging markets. The results of primary analysis of market indexes change tendencies showed the impact of globalization. Market indexes of the developed countries, as well as the emerging market indexes react to worldwide events, though their reaction differs in extent and speed. The descriptive analysis proved that market indexes of the developed countries demonstrated the faster and the stronger reaction to important worldwide and regional events, while the emerging stock markets in some cases showed a delayed reaction to the new information with one-day-long lag. Results of the correlation analysis achieved by using mathematical statistics methods to measure interdependencies between the developed and emerging markets indexes enable to state the following: the high correlation among stock indexes of European countries is found and the events taking place in this region directly affect all stock markets of this continent in a similar direction. Pair correlation coefficient values vary in the range between 0.717 and 0.958; market indexes dynamics of China’s and the developed countries’ indicate a similar trend only after the financial crisis wave. In 2008, market index of Shanghai stock exchange SSEC shows weak correlation with the U.S. and the developed European countries’ market indexes; meanwhile, medium and strong correlation ties between the selected market indexes are recorded since 2010. Consequently,research results conclude that the regional events affect the SSEC index variation, but not so significantly as global events.