A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market
This article represents the theoretical basis of country risk evaluating for emerging markets. It also contains the results of testing modified CAPM which include country risk premium for Ukrainian stock market. The study is based on data from the Ukrainian Stock Exchange and UX index for 2009 - 201...
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| Цитувати: | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market / Ya.V. Khomenko, O.I. Molchanov, K.S. Sheyka // Економічний вісник Донбасу. — 2013. — № 4 (34). — С. 81–85. — Бібліогр.: 14 назв. — англ. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1860244140497829888 |
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| author | Khomenko, Ya.V. Molchanov, O.I. Sheyka, K.S. |
| author_facet | Khomenko, Ya.V. Molchanov, O.I. Sheyka, K.S. |
| citation_txt | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market / Ya.V. Khomenko, O.I. Molchanov, K.S. Sheyka // Економічний вісник Донбасу. — 2013. — № 4 (34). — С. 81–85. — Бібліогр.: 14 назв. — англ. |
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| description | This article represents the theoretical basis of country risk evaluating for emerging markets. It also contains the results of testing modified CAPM which include country risk premium for Ukrainian stock market. The study is based on data from the Ukrainian Stock Exchange and UX index for 2009 - 2011.
У цій статті відображено теоретичні основи розрахунків ризику країни для ринків, що розвиваються, а також результати тестування модифікованих з урахуванням ризику країни CAMP для українського фондового ринку. Дослідження базується на даних Українській фондовій біржі та індексу UX за 2009 - 2011.
В данной статье отображены теоретические основы расчетов странового риска для развивающихся рынков, а также результаты тестирования модифицированных с учетом странового риска CAMP для украинского фондового рынка. Исследование базируется на данных Украинской фондовой биржи и индекса UX за 2009 - 2011.
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| first_indexed | 2025-12-07T18:34:29Z |
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81
Економічний вісник Донбасу № 4 (34), 2013
Ya. V. Khomenko, O. I. Molchanov, K. S. Sheyka
Introduction. This paper aimed to shed some
light on the way the country risk premium should be
introduced to the traditional CAMP model. In most
emerging market valuations a risk adjustment takes place
by adding a spread called the “country risk premium” to
the rate determined by the CAPM of an equivalent
investment in a developed market. Some experts modify
CAMP model using this addition analyzing market
stocks or investments which are reflected by country
uncertainties.
Incorporating a country risk premium in the discount
rate is inconsistent with the assumptions of the CAPM.
And if country risk is going to have an impact on the
discount rate a way must be found to modify the CAPM
without altering its fundamentals.
Introduction a country risk means that it, firstly,
must be evaluated somehow and then be included to the
CAMP traditional formula.
As a result, we propose a modification of CAPM
for stock evaluation in emerging countries taking into
consideration market and stock exchange data and
involving only the country’s systematic risk. This
modification is an improvement over the existing model
for conditions prevailing in emerging countries.
Historical Background. In 1959 Markowitz was
the first to develop the modern portfolio theory, which
was the base for CAPM research. He proved that
investors should create their portfolio in order to offer
themselves a maximum level of return for a given level
of risk or, a minimum level of risk for a given level of
return. [1] The modern portfolio theory has proposed
models of asset pricing in fully efficient markets.
Markowitz showed in his theory that stocks are related
to each other and that the risk can be decreased through
diversification.
Sharpe (1964) and Lintner (1965) continued the
work of Markowitz and constructed the famous Capital
Asset Pricing Model (CAPM). Basically, the model was
developed to explain the differences in risk premium
across assets. The CAPM shows clearly that these
differences are generated by the differences in the assets’
riskiness, i.e. the higher the risk of an asset, the higher
the risk premium demanded by investors.
The general equation of the model is:
( )fmifi RRERRE −+= )()( β (1)
where:
E(Ri ) – expected return of stock i;
βι – relative risk of share i;
E(Rm ) – expected return of the market;
fR – risk-free interest rate such as interest arising
from government bonds [2].
Coefficient βι is the sensitivity of the expected excess
asset returns to the expected excess market returns [3].
A very important consequence of this model is the
separation theorem, which says that in the capital markets
the risk has two components: diversifiable (or non-
systematic) risk and non-diversifiable (systematic) risk.
When pricing, the only significant risk is the systematic
one, since investors can just get rid of the non-systematic
risk through diversification. Sharpe and Lintner show
that the true measure of risk is the well-known beta
coefficient.
So, the CAPM is very important for investors and
stock markets, because it helps to estimate the return of
our portfolio (asset) and relationships between risk and
income, to test efficient market hypothesis and helps to
determine the selection of stocks in the portfolio.
Country risk. According to the CAPM, the only
relevant risk is given by beta: a measure of the covariance
between the project’s return and the return of the market
portfolio. Hence, companies in different industries have
different (relevant) risk. Nonetheless, this rationale does
not account for geography. The companies in the same
industry but in different countries could have the same
risk but investors frequently demand different returns
from the same business depending on its location. This
particular risk associated with the geographical location
of the investment is known as country risk.
The capital asset pricing model is rather good
method of risk estimation. But it is fully applicable without
any modification for developed countries. However, the
CAPM is not relevant in the developing world for the
following reasons:
1. Greater uncertainty causes investments in
emerging countries to tend to be riskier than investments
UDC 336.76(477)
Ya. V. Khomenko,
DrHab (Economics)
O. I. Molchanov,
K. S. Sheyka,
Donetsk National Technical University
A PRACTICAL APPROACH FOR QUANTIFYING COUNTRY RISK
ON THE UKRAINIAN STOCK MARKET
Finance
82
Економічний вісник Донбасу № 4 (34), 2013
in developed markets. Such kind of risk must be
somehow quantified.
2. The main indicator for what could be considered
to be the “market portfolio” in emerging markets is the
stock price index. But this index is rarely a good proxy
of the real local business environment.
3. Local businesses are subject to strong foreign
impacts in much greater measure than their counterparts
in developed countries.
4. To a far larger degree than in the developed world,
the great majority of companies are controlled by family
groups or a few shareholders. In general, such investors
are not well diversified, since these businesses usually
represent an important proportion of their proportions.
The CAPM ignores the impact of the project on investors’
portfolios, but often this cannot be done in developing
countries. [5], [6]
So, for an adequate estimation for developed
countries we need some extensions and modifications.
Emerging markets allow investors to access high
returns and unique investment opportunities. However,
these opportunities carry high risks. Usually such kind
of risks are included in definition of “country risk”.
Country risk an important, and often overlooked,
component of the cost of capital. Factors like political
instability, natural disasters, and economic turmoil all cause
investors to demand a premium for putting their capital at
risk. Country Risk Premium (CRP) is the additional risk
associated with investing in an international company rather
than the domestic market. Macroeconomic factors such
as political instability, volatile exchange rates and economic
turmoil causes investors to be wary of overseas investment
opportunities and thus require a premium for investing.
The country risk premium (CRP) is higher for developing
markets than for developed nations. This premium
increases the cost of capital at which an investment’s cash
flows are discounted, negatively impacting the stock's
valuation. [14].
Reputation is the key for assessing country risk.
Reputation is built upon a country’s social peace and
institutional behaviour through time. A high degree of
social stability and extended periods of institutional
consistency and continuity earn a nation trustworthiness
and low levels of country risk. Observe that country risk
does not have as much to do with the quality of economic
policies as with their stability and consistency [6].
The Country Risk Adjustment. Most practitioners
are convinced that developing countries are inherently
riskier. Hence a higher return must be expected from
investments in these nations to account for the additional
“country risk”. In most valuations this risk adjustment is
accomplished by adding a spread called the “country risk
premium” to the discount rate of an equivalent investment
in a developed market.
The majority of practical models are based on the
CAPM (Capital Asset Pricing Model). The most popular
one is probably the following adapted CAPM:
( ) CRRRERRE fmifi +−+= )()( β (2)
where:
CR is a country risk premium [7].
It is worth reminding that one of the most important
assumptions of the CAPM is that investors are fully
diversified meaning that they are able to diversify at
negligible cost all the intrinsic risks of their investments,
so that only those risks that cannot be diversified away
must be accounted for in the discount rate. These non-
diversifiable risks are known as systematic since they
are correlated with the market portfolio.
There are many other variants to this well-known
approach. What they all have in common is that the
discount rate is estimated using the CAPM as the base
model and the resulting expected return is adjusted with
a measure of country risk. Some common adjustments
follow:
• An additional risk premium is added to or subtracted
from the discount rate resulting from the model described
above. The magnitude of this additional premium is often
quite subjective and depends on the country where the
project takes place, or
• The relative volatility of the stock market index
of the emerging country is factored in, or
• The country risk premium is added to the market
risk premium, or
• The country risk adjustment depends on the
proportion of foreign revenues of the firm or project.
[7], [8], [9].
Methodology of country risk evaluating. In
practice, a number of methods for country risk evaluating
could be introduced because of variety of approaches to
them. But we introduce two of them, most obvious ones:
• Modified International CAPM (MICAPM)
• Systematic Country Risk Modulator (SCRM) [8]
Modified International CAPM
This approach is much the same as traditional CAPM
but has one but very important distinction. To include
CRP in our model we use weighted beta which is indicated
as wβ . So the whole formula will be the following.
( ) CRRRERRE fmwfi +−+= )()( β (3)
wβ is computed as:
Bi
n
i
iw βαβ ∑
=
⋅=
1
(4)
where,
Biβ – stands for the beta of a similar investment in
country i;
iα – is the net weight in the firm’s overall operating
cash flows of the portion of cash flows associated with
country i.
Biβ is computed as:
iMBMBi βββ ⋅=
Ya. V. Khomenko, O. I. Molchanov, K. S. Sheyka
83
Економічний вісник Донбасу № 4 (34), 2013
BMβ is the beta of a similar business in a developed
country with respect to a market proxy (i.e. S&P 500);
iMβ is the beta of the relevant country stock market
index with respect to the market proxy.
Systematic Country Risk Modulator
( ) CRRRERRE fmwfi λβ +−+= )()( (5)
where,
CR is a proxy for the country risk premium, say
the yield spread between government bonds;
λ is the square of the sample correlation coefficient
between the historical returns of the local stock market
index and the market proxy index. This parameter can
be interpreted as the proportion of total variability of the
returns of the local stock market index that can be
explained by the returns of the proxy market index.
22 ][)(
i
M
iM σ
σ
βλ ⋅= (6)
where,
iMβ is the beta of the local stock market index
with respect to the market proxy;
Mσ is the standard deviation of the market proxy
returns;
iσ is the standard deviation of the local index
returns.
Data and Sample Selection. The present case is
realized by using the data about companies traded in the
Ukrainian Stock Exchange (UX). The data are obtained
from UX Data Base. The source of data is an official
web-site of the Ukrainian Exchange [12]. The study
covers the period from 29.07.2009 to 05.08.2011.
The study uses daily stock returns of 14 companies
traded in the market in the year 2009 – 2011.The selected
sample consists of 14 stocks that are included in the
formation of the UX and PFTS indices.
All securities included in the sample are traded on
the UX on a continuous basis throughout the full Ukrainian
stock exchange trading day.
The 1-year Ukrainian Government Bonds (UGB) are
used as the proxy for the Ukrainian risk-free asset. The
yields were obtained from the statistic data of the National
Bank of Ukraine. Also, for calculating the country risk
premium (CR in the formula) US Treasury Bond (USTB)
were taken. The data were obtained from U.S. Department
of the Treasury data base. [13]
Results and Analysis. For testing method of
Systematic Country Risk Modulator was used. Analyzing
mentioned above formula it is logically to start from deciding
what will be a market proxy. It is rather difficult question
to answer and it could not be one definite opinion on this
question. Finding a true proxy (or reflection) of the market
as a whole may not be possible, because a proxy will only
be a fragment of the entire market for all risky assets. As
well, every proxy for the market would need to be unique,
according to what is being traded or measured. In this
particular study we use Public Joint Stock Company „Дер-
жавна енергогенеруюча компанія “Центренерго” (Ticker
on UX: CEEN). It gives us a broad representation (see
Figure 1) of the overall market and takes 20,48% of Index
Basket. From this graph we can see that CEEN and UX
are highly correlated (R2 = 0,92).
The next step was to calculate standard deviation of
the market proxy returns and the local index returns. Also
for calculating λ we need to know the iMβ , which was
also calculated. The results are represented in table 1.
The next step was to calculate CR, which is the
difference between Ukrainian Government Bonds and US
Treasury Bond rates. Accordingly to the data, the average
rates from 29.07.2009 to 05.08.2011 were 10,1% and
3,3% correspondingly.
After some calculations, the CAPM [12] for chosen
companies having regard to country risk was determined.
The results are represented in Table 2.
The results of these table clearly shows high value
of country risk at the Ukrainian Stock Market. This should
be taken to the account of the investors.
It is very important to be aware that there is no
such thing as a unique value for a firm, and that this is
even more definite in highly volatile emerging markets.
The best an investor in emerging markets can do is to
make a well-educated decision as to a reasonable price
range. The higher the price, the higher the probability
that the true value be lower.
Conclusion. In most emerging market valuations a
risk adjustment is accomplished by adding a spread called
the “country risk premium” to the discount rate for an
equivalent investment in a developed market.
In the paper a modified CAPM is proposed. The
model allows for income and expenses in different
countries and uses a (representative) developed stock
market as the proxy for the market portfolio and the basis
for the computation of project beta. The correct
incorporation of systematic risk remains a challenge for
different reasons.
The first problem with the application of modified
CAPM is connected with indirect estimation of beta.
Publicly traded securities are the natural information source
for those interested in estimating beta for a real investment.
In developed countries it is straightforward process to
select one or more publicly traded companies in the same
or similar line of business as the company being analyzed.
Then their corresponding betas are obtained from an
information service. The project beta should be within the
range of these company betas. However, generally this
procedure is not as easily done in developing countries
because of short history and high volatility of the stock
markets, illiquidity of these markets, limited number of
firms in many lines of businesses and low frequency at
which each stock is traded with respect to the average.
Secondly, we have to consider impact of country
Ya. V. Khomenko, O. I. Molchanov, K. S. Sheyka
84
Економічний вісник Донбасу № 4 (34), 2013
risk and its correct evaluation. There is no clear-cut
solution to this problem, and we must accept a degree of
ambiguity in systematic risk. The only way out is to add
this imprecision to the other factors associated with the
estimation of beta and experiment with different values
of this parameter. This problem alternatively could be
solved using another proxy for the developing economy.
In this case the problem with searching for representative
indicator begins. This indicator must be provided by
frequent data and statistically estimated.
Third problem stems from the quality of information
sources. Of course, this problem deals with level of
experience and qualification of analysts. Every approach
requires deep gradual analysis of particular developing market
for more accurate evaluation of country risk and,
consequently, more accurate CAMP evaluation. As a solution,
one can use useful web pages with data and information on
many countries (Transparency International, Reuters,
Bloomberg etc.) information of main rating agencies.
Risk and flexibility is the final problem in the correct
application of modified CAPM. Country risk is often
manageable. The task for investors in developing countries
is to structure investments in such a way that country
risk is minimized (hence expected cash flows are
maximized). A common country risk management strategy
is to build in future project flexibility.
Finally, we must realize that no modified CAPM
could be a panacea. Not all kind of risks could be obvious
and manageable. In every particular market we could
face with specific, peculiar only to this particular
economy, risks, which need to be taken into consideration.
However, in spite of these important limitations we believe
it to be a more appropriate model for emerging countries
than the traditional country risk premium approach.
References
1. Markowitz H. M. (1959): Portfolio Selection:
Efficient Diversification of Investments, 2nd ed., New
York: John Wiley &Sons (reprinted by Yale University
Press). 2. Solnik B., McLeavey D. (2003): International
investments, 5th ed., Pearson. 3. Lintner J. (1965): The
valuation of risk assets and selection of risky investments
in stock portfolios and capital budgets, Review of
Economics and Statistics, p. 40 – 47. 4. McLaney E. J.
Ya. V. Khomenko, O. I. Molchanov, K. S. Sheyka
Figure 1. CEEN and UX dependence
Table 1
Results of calculating the components for λ
Ticker St. dev
CEEN ( Mσ ) 0,02807
UX ( iσ ) 0,02331
iMβ =0,997
λ =1,441767
85
Економічний вісник Донбасу № 4 (34), 2013
(2006): Business Finance: Theory and practice, Moscow:
Prentice Hall Financial Times (An imprint of Pearson
Education). 5. Magni, C. A.: Correct or incorrect
application of CAPM? Correct or incorrect decisions with
CAPM? European Journal of Operational Research 137,
2007, p. 206 – 217. 6. KriŠtofík P. (2010): Application
of CAPM for investment decisions in emerging countries.
5th International Conference Management and Modelling
Financial Risk Ostrava, 2010. 7. Damodaran A. 2003,
“Country Risk and Company Exposure: Theory and
Practice”, Journal of Applied Finance, Fall. 8. Sabal J.
2002, “Financial Decisions in Emerging Markets”, Oxford
University Press. 9. Sabal J. 2004, “The Discount Rate
in Emerging Markets: A Guide”, Journal of Applied
Corporate Finance, Summer. 10. Sabal J. 2008, “A
Practical Approach for Quantifying Country Risk”,
Revista Journal, GCG Georgetown University –
Universia, 2008, Vol. 2 Num. 3 11. Malyshko A. V.,
Molchanov O. I., Sheyka K. S. 2012, “Testing the CAPM
on the Ukrainian Stock Market: Beta Coefficient
Determination”, 2012, № 4 (30), p. 86 – 91. 12. Ukrainian
Stock Exchange, http://www.ux.ua/. 13. U.S. Department
of the Treasury, http://www.treasury.gov] 14. Investopedia,
http://www.investopedia.com/
Хоменко Я. В., Молчанов О. І., Шейка К. С.
Практичний підхід для кількісного виміру ризи-
ку країни на українському фондовому ринку
У цій статті відображено теоретичні основи роз-
рахунків ризику країни для ринків, що розвиваються,
а також результати тестування модифікованих з ура-
хуванням ризику країни CAMP для українського фон-
дового ринку. Дослідження базується на даних Україн-
ській фондовій біржі та індексу UX за 2009 – 2011.
Ключові слова: український ринок цінних паперів,
країнових ризиків, моделі оцінки фінансових активів,
бета коефіцієнт, інвестиції.
Хоменко Я. В., Молчанов А. И., Шейка Е. С.
Практический подход для количественного изме-
рения страновых рисков на украинском фондо-
вом рынке
В данной статье отображены теоретические основы
расчетов странового риска для развивающихся рынков,
а также результаты тестирования модифицированных с
учетом странового риска CAMP для украинского фондо-
вого рынка. Исследование базируется на данных Укра-
инской фондовой биржи и индекса UX за 2009 – 2011.
Ключевые слова: украинский рынок ценных бу-
маг, страновой риск, модель оценки финансовых акти-
вов, бэта коэффициент, инвестиции.
Khomenko Ya. V., Molchanov O. I., Sheyka K. S.
A Practical Approach for Quantifying Country Risk on
the Ukrainian Stock Market
This article represents the theoretical basis of
country risk evaluating for emerging markets. It also
contains the results of testing modified CAPM which
include country risk premium for Ukrainian stock market.
The study is based on data from the Ukrainian Stock
Exchange and UX index for 2009 – 2011.
Key words: ukrainian stock market, country risk,
capital asset pricing model, beta coefficient, investment.
Received by the editors: 09.10.2013
and final form 04.12.2013
Ya. V. Khomenko, O. I. Molchanov, K. S. Sheyka
Table 2
Systematic Country Risk Modulator estimations
Equity Beta CAPM SCRM
ALMK 1,45 17,23% 27,03%
AZST 1,25 16,24% 26,04%
USCB 1,21 16,02% 25,82%
CEEN 1,12 15,58% 25,38%
ZAEN 0,64 13,24% 23,04%
ENMZ 1,33 16,64% 26,44%
UTLM 0,56 12,84% 22,64%
BAVL 0,88 14,41% 24,21%
AVDK 1,01 15,08% 24,88%
DOEN 1,01 15,04% 24,84%
MZVM -0,03 9,97% 19,77%
SGOK 0,91 14,55% 24,35%
KVBZ 0,81 14,06% 23,86%
STIR 1,17 15,86% 25,66%
|
| id | nasplib_isofts_kiev_ua-123456789-123386 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 1817-3772 |
| language | English |
| last_indexed | 2025-12-07T18:34:29Z |
| publishDate | 2013 |
| publisher | Інститут економіки промисловості НАН України |
| record_format | dspace |
| spelling | Khomenko, Ya.V. Molchanov, O.I. Sheyka, K.S. 2017-09-03T19:14:06Z 2017-09-03T19:14:06Z 2013 A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market / Ya.V. Khomenko, O.I. Molchanov, K.S. Sheyka // Економічний вісник Донбасу. — 2013. — № 4 (34). — С. 81–85. — Бібліогр.: 14 назв. — англ. 1817-3772 https://nasplib.isofts.kiev.ua/handle/123456789/123386 336.76(477) This article represents the theoretical basis of country risk evaluating for emerging markets. It also contains the results of testing modified CAPM which include country risk premium for Ukrainian stock market. The study is based on data from the Ukrainian Stock Exchange and UX index for 2009 - 2011. У цій статті відображено теоретичні основи розрахунків ризику країни для ринків, що розвиваються, а також результати тестування модифікованих з урахуванням ризику країни CAMP для українського фондового ринку. Дослідження базується на даних Українській фондовій біржі та індексу UX за 2009 - 2011. В данной статье отображены теоретические основы расчетов странового риска для развивающихся рынков, а также результаты тестирования модифицированных с учетом странового риска CAMP для украинского фондового рынка. Исследование базируется на данных Украинской фондовой биржи и индекса UX за 2009 - 2011. en Інститут економіки промисловості НАН України Економічний вісник Донбасу Finance A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market Практичний підхід для кількісного виміру ризику країни на українському фондовому ринку Практический подход для количественного измерения страновых рисков на украинском фондовом рынке Article published earlier |
| spellingShingle | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market Khomenko, Ya.V. Molchanov, O.I. Sheyka, K.S. Finance |
| title | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market |
| title_alt | Практичний підхід для кількісного виміру ризику країни на українському фондовому ринку Практический подход для количественного измерения страновых рисков на украинском фондовом рынке |
| title_full | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market |
| title_fullStr | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market |
| title_full_unstemmed | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market |
| title_short | A Practical Approach for Quantifying Country Risk on the Ukrainian Stock Market |
| title_sort | practical approach for quantifying country risk on the ukrainian stock market |
| topic | Finance |
| topic_facet | Finance |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/123386 |
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