Аномалії на фінансових ринках як фактор ірраціональної поведінки інвесторів

Abstract

Досліджено концептуальні засади та особливості функціонування фінансових ринків з позиції нераціольної поведінки інвесторів, що зумовлено виникненням різноманітних аномалій. Визначено основні аномалії фінансових ринків, що пов'язані з початком і кінцем циклу активності, тобто з циклами інвестиційної діяльності, які відповідають календарним періодам (тижневому циклу, місячному та річному). Охарактеризовано основні причини, що зумовлюють виникнення аномалій на фінансових ринках та нераціональну поведінку їх учасників. Ключові слова: інвестори, фінансовий ринок, аномалії, ірраціональна поведінка.

The conceptual principles and peculiarities of the functioning of financial markets from the standpoint of non-rational behavior of investors, which are caused by the occurrence of various anomalies, are explored. The basic anomalies of financial markets related to the beginning and the end of the cycle of activity, that is, with the cycles of investment activity that correspond to calendar periods (weekly cycle, monthly and annual), are determined. It should be noted to the existence of a relationship between the behavior of investors and external factors. The presence of irrational investors violates the financial market (in terms of increasing the amplitude of the exchange rate) in proportion to the number of their performances. The results of the market research point to the imperfection of the theory of effective financial markets. In addition to irrational actions, speculative actions, mimetic rational and irrational behavior, various phobias and fashion, as well as other abnormalities, in practice it turns out that information is not always properly distributed and the price of transaction services is not always low enough. In case of anomalies, the market becomes ineffective, creating conditions for the formation of such investment strategies that can allow for a short period get profit without risk, which contradicts the theory of an efficient market. Historically, the most important anomalies are associated with the beginning and end of the cycle of activity, that is, with the cycles of investment activity that correspond to calendar periods, and, therefore, the weekly cycle, monthly and yearly. They also include anomalies related to the cycle of the session itself, that is, anomalies during the session. During the session, there is also an increase in profit levels at the beginning and at the end of the session, and before the lunch break, after - there is a decrease. There are also effects of holidays and anomalies related to the size of the enterprise. Thus, the main anomalies of the financial markets and, accordingly, the irrational behavior of their participants should be considered in the measurement: the effect of the end of the week; the end of the month effect; effect of the end of the year; the size of the company. Keywords: іnvestors, financial market, anomalies, irrational behavior.