Fair Value Accounting Model for Stock Indices
Chernova N. L., Poliakova O. Y.

Chernova, Natalia L., and Poliakova, Olha Yu. (2021) “Fair Value Accounting Model for Stock Indices.” The Problems of Economy 1:169–177.
https://doi.org/10.32983/2222-0712-2021-1-169-177

Section: Mathematical methods and models in economy

UDC 336.76; 330.40

Abstract:
When forming the risk portion of an investment portfolio, one may include into it both stocks of individual companies representing different sectors of the economy in different regions, and derivative financial instruments, such as futures on stock indices. The latter are an excellent instrument for investing in a country's stock, eliminating the necessity for the investor to solve the non-trivial problem of determining the optimal set of attractive assets, because, as a rule, the stock index includes the most successful companies in most industries. If one only decides to include stock indices in the portfolio on the basis of their current price, it can be assumed that in the moment one should invest in assets that have not gone up at all or enough, yet. However, this estimate is not objective, as indices have different volatility, and therefore, it is incorrect to compare the absolute size of the drawdown in crisis time, and those of the growth rate in the post-crisis period, if one wants to determine overvalued and undervalued assets. Obviously, when making the final decision on whether to include stock indices in the portfolio, it is also necessary to rely on the results of a fundamental analysis of these assets. So, the articles aims at determining the structure of the risk portion of the investment portfolio by identifying instruments that are underestimated in terms of their fundamental characteristics. To achieve the aim of the study, the following main tasks were solved: the initial set of exogenous factors influencing the dynamics of stock indices was determined; the parameters of the models of stock indices dependence on the factors influencing them are assessed, the corresponding projected values are calculated; a set of instruments is determined for including stock indices in the investment portfolio by comparing their real and model values. The models created make it possible to determine the optimal structure of an investment portfolio, which would include stock indices futures for such countries as Taiwan, Mexico, Brazil, Great Britain, Germany and the USA.

Keywords: developed countries, developing countries, exogenous factors, futures, investment portfolio, model, projecting, regression, stock index.

Fig.: 5. Tabl.: 3. Formulae: 4. Bibl.: 16.

Chernova Natalia L. – Candidate of Sciences (Economics), Associate Professor, Associate Professor, Department of Software Engineering and Intelligent Control Technologies, National Technical University «Kharkiv Polytechnic Institute» (2 Kyrpychova Str., Kharkіv, 61002, Ukraine)
Email: natacherchum@gmail.com
Poliakova Olha Yu. – Candidate of Sciences (Economics), Associate Professor, Head of, Sector of Macroeconomic Analysis and Forecasting of the Department of Macroeconomic Policy and Regional Development, Research Centre for Industrial Problems of Development of NAS of Ukraine (2 floor 1-a Inzhenernyi Ln., Kharkіv, 61166, Ukraine)
Email: polya_o@ukr.net

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