A comparative analysis of stock market volatility depending on investment time horizon

Abstract

Introduction. It is of topical importance today to study the ratio between the returns and risk of the Ukrainian stock market depending on the duration of the investment period. The relevant analysis should be conducted with regard to the markets of European post-socialist countries that have common features of development. Purpose. The purpose of the research is to define the influence of time factors on the returns and risk of financial assets through the numbers of stock indices (Ukrainian PFTS index, Polish stock index WIG, Czech stock index PX), the analysis of volatility of Ukrainian and European stock markets and the identification of patterns of their development. Methods. To conduct the research, the authors use the analysis of dynamic series, statistical, structural analysis, comparative analysis and correlation-and-regression analysis. Results. In the article, a comparative analysis of the volatility of the Ukrainian and European stock markets was conducted based on statistical research of temporal changes of stock indices. Their common development trends and differences, which can be explained by the peculiarity and specificity of the Ukrainian stock market, are revealed. The results of the analysis show that, with the increasing investment time horizon, the spread between maximum and minimum income returns is reduced, and the minimal income return itself becomes extremely positive. As the research shows, the peculiarity of the Ukrainian stock market is its significantly higher income return, which, however, is accompanied by a much higher risk, especially during the seven to nine year investment period. Conclusion. The Ukrainian stock market involves high risks, which does not make it attractive for conservative investors. However, it is considered to be a very attractive investment destination for risky investors, especially for a medium-term period of 7-12 years, since they may expect returns several times higher than at Polish and Czech markets under investigation.

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