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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


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Vol. 28, Iss. 3
September 2023