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|Title:||Calendar anomalies in the Ukrainian stock market|
|Keywords:||Calendar anomalies;Day-of-the-week effect;Turn-of-the-month effect;month-of-the-year effect;January effect;Holiday effect;Halloween effect|
|Citation:||Investment Management and Financial Innovations, 2017, 14 (1), pp. 104 - 114 (11)|
|Abstract:||This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the-week effect; turn-of-the-month effect; turn-of-the-year effect; month-of-the-year effect; January effect; holiday effect; Halloween effect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but there are a few exceptions, i.e. the turn-of-the-year and Halloween effect for the PFTS index, and the month-of-the-year effect for UX futures. However, the trading simulation analysis shows that only trading strategies based on the turn-of-the-year effect for the PFTS index and the month-of-the-year effect for the UX futures can generate exploitable profit opportunities that can be interpreted as evidence against market efficiency.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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