Новый подход к оценке риска акций: методология и практическое применение
Importance Share quotations and dynamics of their fluctuation are influenced by factors, which generate the market risk due to their uncertainty. The risk is rather difficult to assess and forecast. Whereas we can see more and more information on various factors influencing indicators of the risk, cross-disciplinary nature of arising threats, and the current difficulties relating to risk assessment using the existing methods, it contributes to new researches and developing new methods. Objectives The research aims at analyzing a practical use of the volatility index of share quotation in the stock market as one of the indicators reflecting the risk of shares. The research pursues devising a method for assessing the indicator. Methods Using the methods of comparison with a reference indicator, we analyze how stock quotes change in the stock market. We apply a matrix approach involving triangle matrices, and econometric methods. Results We propose the volatility index of share prices, which may be used as one of the methods to assess the risk of securities in the stock market. We devise a method to measure the indicator. The article also analyzes specific aspects and possibilities of using the volatility index in order to assess the risk. We compare results of the risk assessment using the proposed index with similar ones resulting from the Value-at-Risk method, root-mean-square deviation, return on shares. The method was tested in analyzing shares of several companies in the US and European stock markets within 2004 to 2013. Conclusions and Relevance We conclude that it is possible to use the volatility index of share prices as a separate indicator of risk assessment and addition to assessments using the VaR method. The proposed indicator may be useful to take decisions relating to market risks, evaluation of shares quality, share-based ratings, examine the efficiency of shares in the stock market, etc.