Enhancement of the System of Statistical Indicators for Assessing the State and Prospects of Development of the Stock Market

DOROKHOV, Evgenii V.

doi:10.34023/2313-6383-2022-29-1-17-27

Vopr. stat.

2022

DOI: 10.34023/2313-6383-2022-29-1-17-27

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Enhancement of the System of Statistical Indicators for Assessing the State and Prospects of Development of the Stock Market

Evgenii V. DOROKHOV

Abstract: The article substantiates the need to improve the system of indicators that meet the requirements of market participants and potential investors in obtaining reliable and comprehensive statistical information on the state and development prospects of the Russian stock market (SM).The analysis of the current state of statistical monitoring of the Russian SM in terms of the misuse of insider information and manipulation of the financial market is carried out, statistical indicators for assessing stock assets and… Show more

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Cited by 4 publications

References 9 publications

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Methodological Aspects of Estimating the Value of Shares of Issuing Companies on the Stock Market

Dorokhov

2024

Statistika i ekonominka

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The purpose of the study. Development of a methodology for the estimated value of shares of issuing companies on the stock market based on the values of their investment criteria and indexes of net profit per share.Materials and methods. The study uses analytical and statistical data for the time period 1881-2022 on the market quotations of the S&P500 index and indexes of net profit of companies in terms of E, E6 and E10 shares (E6 and E10 are the moving average of E for the previous 6 and 10 years) for companies included in the calculation of the S&P500 index. Similar data for the time period 1998-2022 of the index-forming Russian companies Gazprom, Nornickel and Rosneft are also used. The research methodology includes statistical methods, methods of comparative analysis, comparison and generalization.Results. Based on the obtained data of regression dependence of the market quotations of the S&P500 index from 1881 to 2022 on the investment criteria of American companies S&P500/E and S&P500/E10, as well as on their net profit indexes in terms of E and E10 shares, it is shown that the objective financial and economic characteristics of companies mainly determine the market price of its shares. The regression dependence of the S&P500 on the E, E10 indexes and on the S&P/E10 investment criterion is characterized as high and very high. The presented S&P/E6 investment criterion, along with the S&P500/E10, has a very high impact on the S&P500 in comparison with other criteria and indexes (data from regression statistics during the dotcom crises from 2000 to 2005 and global crisis phenomena from 2007 to 2010). In most cases, it was revealed: high and very high dependence of the market value of shares of US and Russian issuing companies on the investment criteria P/E6 and P/E10; medium and weak dependence on the indexes E, E6 and E10; weak and very weak dependence on the investment criterion P/E.Conclusion. The results obtained show that to assess the reliable value of shares of issuing companies on the stock market, it is advisable to use the values of investment criteria P/E6 and P/E10. The practical significance of the study lies in testing the developed methodology for estimating the value of shares of issuing companies on the stock market. Stock market participants in choosing preferred investment strategies can use the results of the study. Based on the data obtained on a reliable assessment of the value of shares of issuing companies of the Russian stock market, regulatory organizations have the opportunity to formulate effective management of it in the context of existing negative geopolitical events.

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Methodological Aspects of Estimating the Value of Shares of Issuing Companies on the Stock Market

Dorokhov

2024

Statistika i ekonominka

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Methods of diagnosing irrational behavior of retail investors in the financial market

POPOVA,

KHOROSHILOV

2023

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Subject. This article examines the problem of the influence of cognitive distortions on the process of investment decision-making, as well as the development of tools for quantitative and qualitative diagnostics of the irrationality of retail investors. Objectives. The article aims to test technologies for identifying and quantifying patterns of irrational assessment of financial alternatives, as well as develop recommendations for minimizing their impact on financial markets. Methods. For the study, we used the methods of formal and logical, and mathematical and statistical analyses. Results. The article presents a set of author-developed tests that can help identify the ability of cognitive distortions to influence the process of investment decision-making. Conclusions. The application of the proposed methodology can help solve the problem of monitoring market expectations for panic moods that can have a significant impact on the changes in the financial market as a whole.

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Assessing the investment potential of issuing companies in conditions of the stock market dynamics

DOROKHOV

2023

EATP

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Subject. Based on the developed procedure for fuzzy valuation of shares of issuing companies, the article considers topical issues related to forecasting their investment potential in conditions of stock market dynamics. Objectives. The purpose is to assess the investment potential of issuing companies for various scenarios of their development. Methods. The study rests on methods of analysis of economic phenomena and processes, systems approach to reviewing the development of issuing companies, estimation and prediction of their economic activities. It applies the fuzzy logic theory and the efficiency theory, the method of analogies, statistical processing of factual material, the comparative and expert analysis. Results. The developed methodology includes the formation of scenarios for companies’ development based on their financial and economic projections in the form of fuzzy numbers. I constructed membership functions of the initial fuzzy financial and economic indicators. The paper provides projected fuzzy estimates of the value of shares of the issuing company and its investment potential for the selected fuzzy financial and economic indicator and forecast scenario. The methodology was tested on the case of model forecast scenarios for ExxonMobil development. Conclusions. The presented methodology enables a forecast assessment of investment potential based on the database of quotations and financial and economic indicators of issuing companies. The predictive assessment is made within the formed fuzzy forecast scenario of the company's evolution in accordance with trends in the development of internal and external risk factors.

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Enhancement of the System of Statistical Indicators for Assessing the State and Prospects of Development of the Stock Market

Cited by 4 publications

References 9 publications

Methodological Aspects of Estimating the Value of Shares of Issuing Companies on the Stock Market

Methodological Aspects of Estimating the Value of Shares of Issuing Companies on the Stock Market

Methods of diagnosing irrational behavior of retail investors in the financial market

Assessing the investment potential of issuing companies in conditions of the stock market dynamics

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