Features of multicollinarity in the dynamics of the stock market

the relevance of studying multicollinearity in the securities market is due to the fact that it can seriously distort the results of statistical analysis used for forecasting and asset valuation. The purpose of this article is to assess the correlation between the maximum prices of the preferred shares of PJSC "Surgutneftegas", PJSC "Permenergosbyt", as well as the global depositary receipts of the "Fix Price" store chain. Materials and methods. The maximum prices for these securities were obtained from open data. Their correlation-regression analysis was conducted using the Statistica software package (version 10). Discussion of results. A saddle-shaped form of the surface of the relationship between the examined financial characteristics has been demonstrated. Nonlinearity of the relationship between them has been established. The multicollinear nature of the price dynamics of the considered shares is explained by the fact that two of the examined financial characteristics influence the third. In particular, the increase in the price-to-earnings ratio can be attributed to both an increase in the stock price itself and an expected growth in the company's profits in the future. At the same time, an increase in return on equity often correlates with an increase in the company's investment attractiveness, which in turn also contributes to the growth of stock prices. Conclusions. Knowledge of the saddle-shaped form of the stock price diagram can be applied in the implementation of short-term arbitrage processes. The multi-collinear nature of stock price dynamics is determined by macroeconomic, industry and specific market factors that must be taken into account for effective management of investment risks.

maximum prices, shares, general depositary receipts, regression analysis, nonlinearity, multicollinearity