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The Dependence Between Volatility of Share Prices and Shareholder Return of the Companies from WIG-Ukraine Index of Warsaw Stock Exchange

Author

Listed:
  • Miroslaw Wasilewski

    () (Warsaw University of Life Sciences)

  • Serhiy Zabolotnyy

    () (Warsaw University of Life Sciences)

Abstract

The goal of the research was to present the possibility of application of the risk-return concept for the estimation of the relations between volatility of share prices and shareholder return of the companies participating in WIG-Ukraine Index of Warsaw Stock Exchange. The comparative analysis of WIG Ukraine and WIG20 Indices was also conducted. In the analyzed period the WIG-Ukraine demonstrated decrease in capitalization of its companies and higher volatility comparing to WIG20 Index. The effectiveness of investment in particular Ukrainian firms was inversely correlated with WIG-Ukraine Index: the decrease in correlation coefficient between the share prices' and the Index value led to the reduction of volatility and growth of shareholder return. Generally, the conservative strategy of investment in low volatile shares of Ukrainian companies gave low positive or negative returns on stocks, while aggressive strategy resulted in significant financial losses. The compliance of the risk-return concept regarding the strategies of investment in shares was proved.

Suggested Citation

  • Miroslaw Wasilewski & Serhiy Zabolotnyy, 2013. "The Dependence Between Volatility of Share Prices and Shareholder Return of the Companies from WIG-Ukraine Index of Warsaw Stock Exchange," Accounting and Finance, Institute of Accounting and Finance, issue 2, pages 54-63, June.
  • Handle: RePEc:iaf:journl:y:2013:i:2:p:54-63
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    File URL: http://www.afj.org.ua/pdf/69-zalezhnist-mizh-volatilnistyu-cin-akciy-ta-ih-dohidnistyu-na-prikladi-kompaniy-z-indeksu-wig-ukraine-varshavskoi-birzhi-cinnih-paperiv.pdf
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    File URL: http://www.afj.org.ua/ua/article/69/
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    Citations

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    Cited by:

    1. Zabolotnyy, Serhiy, 6. "The Efficiency Of Foreign Direct Investments In Poland – Does The Risk Of Investing In Emerging Market Country Lead To A High Rate Of Return?," Roczniki (Annals), Polish Association of Agricultural Economists and Agribusiness - Stowarzyszenie Ekonomistow Rolnictwa e Agrobiznesu (SERiA), issue 6.
    2. Zabolotnyy, Serhiy, 6. "Polish Direct Investments Abroad As An Instrument Of Value Creation For Investors," Roczniki (Annals), Polish Association of Agricultural Economists and Agribusiness - Stowarzyszenie Ekonomistow Rolnictwa e Agrobiznesu (SERiA), issue 6.

    More about this item

    Keywords

    financial markets; Warsaw Stock Exchange; WIG-Ukraine Index; risk-return concept; volatility;

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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