+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»






Digest Finance

Using a foreign exchange market asset as a benchmark to assess investment risks in the stock market

Vol. 28, Iss. 3, SEPTEMBER 2023

PDF  Article PDF Version

Received: 16 May 2023

Received in revised form: 18 June 2023

Accepted: 29 June 2023

Available online: 28 September 2023


JEL Classification: G11, G14, G17, G32

Pages: 271–288


Viktor V. KURLYANDSKII Moscow University of Finance and Law MFUA (MFUA), Moscow, Russian Federation

ORCID id: not available

Aleksandr N. BILANENKO Moscow University of Finance and Law MFUA (MFUA), Moscow, Russian Federation

ORCID id: not available

Subject. This article discusses the use of a foreign exchange market asset as a benchmark in assessing investment risks in the stock market and comparing the dynamics of the return on assets of the stock and foreign exchange markets as a methodological basis for applying a new algorithm for assessing investment risks in practice.
Objectives. The article aims to prove the rationality of using an asset of the foreign exchange market as a benchmark in assessing investment risks in the stock market.
Methods. For the study, we used a correlation analysis, the Capital Asset Pricing Model (CAPM model), and the multidimensional scaling method.
Results. The article presents proof of the rationality of using the asset of the foreign exchange market, namely the Chinese yuan as a benchmark in assessing investment risks in the stock market. Based on the comparison of the dynamics of the return on assets of the stock and foreign exchange markets, the article proposes and tests a new algorithm for assessing investment risks in practice.
Conclusions. The article concludes that it is necessary to make a change in the traditional decision-making model when assessing the economic feasibility of investment operations, recognizing the rational use of a foreign exchange market asset as a benchmark in assessing investment risks in the stock market.

Keywords: benchmark, stock index, index comparison, yuan, beta coefficient, investment portfolio


  1. Markowitz H. Portfolio Selection. The Journal of Finance, 1952, vol. 7, iss. 1, pp. 77–91. URL: Link
  2. Sharpe W.F. A Simplified Model for Portfolio Analysis. Management Science, 1963, vol. 9, no. 2, pp. 277–293. URL: Link
  3. Fama E.F., French K.R. The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 2004, vol. 18, no. 3, pp. 25–46. URL: Link
  4. Pearson K. Contributions to the Mathematical Theory of Evolution, II: Skew Variation in Homogeneous Material. Philosophical Transactions of the Royal Society of London, 1895, vol. 186, pp. 343–414. URL: Link
  5. Jinhua Zhang, Guipu Wang, Cheng Yan. Can Foreign Equity Funds Outperform Their Benchmarks? New Evidence from Fund-Holding Data for China. Economic Modelling, 2020, vol. 90, pp. 11–20. URL: Link
  6. Teresa de Dios-Alija, Marta del Río Caballero, Luis Alberiko Gil-Alana et al. Stock Market Indices and Sustainability: A Comparison Between Them. Journal of Sustainable Finance & Investment, 2021. URL: Link
  7. Pavlova A., Sikorskaya T. Benchmarking Intensity. The Review of Financial Studies, 2023, vol. 36, iss. 3, pp. 859–903. URL: Link
  8. Ashraf D., Khawaja M., Bhatti M.I. Raising Capital Amid Economic Policy Uncertainty: An Empirical Investigation. Financial Innovation, 2022, no. 8, article no. 74. URL: Link
  9. Schiffman S.S., Reynolds M.L., Young F.W. Introduction to Multidimensional Scaling: Theory, Methods, and Applications. New York, Academic Press, 1981.
  10. Young F.W., Sarle W.S. Exploratory Multivariate Data Analysis. Cary, NC, SAS Institute, Inc., 1982.
  11. Young F.W., Hamer R.M. Multidimensional Scaling: History, Theory and Applications. New York, Erlbaum Associates, 1987.
  12. Vermeesch P., Lipp A.G., Hatzenbühler D., Caracciolo L., Chew D. Multidimensional Scaling of Varietal Data in Sedimentary Provenance Analysis. Journal of Geophysical Research: Earth Surface, 2023, vol. 128, iss. 3. URL: Link
  13. Ryke Nandini, Ambar Kusumandari, Totok Gunawan, Ronggo Sadono. Multidimensional Scaling Approach to Evaluate the Level of Community Forestry Sustainability in Babak Watershed, Lombok Island, West Nusa Tenggara. Forum Geografi, 2017, vol. 31, no. 1. URL: Link
  14. Dorado-Morales P., Vilanova C., Garay C.P. et al. Unveiling Bacterial Interactions through Multidimensional Scaling and Dynamics Modeling. Scientific Reports, 2015, vol. 5, article no. 18396. URL: Link
  15. Urpa L.M., Anders S. Focused Multidimensional Scaling: Interactive Visualization for Exploration of High-Dimensional Data. BMC Bioinformatics, 2019, vol. 20, article no. 221. URL: Link
  16. Bilaya N.A., Korablev A.P., Zelenkovskii P.S., Chukov S.N. [Ecological and geochemical features of soils of the Tolbachik Dol volcanic plateau]. Pochvovedenie = Eurasian Soil Science, 2022, vol. 55, no. 4, pp. 404–412. URL: Link (In Russ.)
  17. Fisher A.C. Multidimensional Scaling of Sport Personality Data: An Individual Differences Approach. Journal of Sport and Exercise Psychology, 2023, vol. 1, iss. 1, pp. 76–86. URL: Link
  18. Meyer E.M., Reynolds M.R. Multidimensional Scaling of Cognitive Ability and Academic Achievement Scores. Journal of Intelligence, 2022, vol. 10, iss. 4, 117. URL: Link
  19. Jinsong Tao, McClure S.C., Xiaoxing Zhang et al. A Scientific Writing Pedagogy and Mixed Methods Assessment for Engineering Education Using Open-Coding and Multi-Dimensional Scaling. International Journal of Technology and Design Education, 2020, vol. 30, pp. 413–426. URL: Link
  20. Hafezeh Pourdehghan, Azadeh Shahcheraghi, Seyed Mostafa Mokhtabad, Hamid Majedi. Evaluating Visual Preferences of Architects and People Toward Housing Facades, Using Multidimensional Scaling Analysis (MDS). Space Ontology International Journal, 2017, vol. 6, iss. 4, Serial Number 23, pp. 75–85. URL: Link
  21. Khalafyan A.A., Shevchenko I.V. [Compiling and evaluating the consistency of bank ratings through computer analysis]. Finansy i kredit = Finance and Credit, 2017, vol. 23, iss. 28, pp. 1655–1677. (In Russ.) URL: Link
  22. Maslikhina V.Yu. [Positioning a provincial region in the Russian Economic Space through the comparative analysis]. Natsional'nye interesy: prioritety i bezopasnost' = National Interests: Priorities and Security, 2019, vol. 15, iss. 12, pp. 2284–2301. (In Russ.) URL: Link

View all articles of issue


ISSN 2311-9438 (Online)
ISSN 2073-8005 (Print)

Journal current issue

Vol. 29, Iss. 1
March 2024