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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Plastun, A | - |
dc.date.accessioned | 2017-04-27T14:31:15Z | - |
dc.date.available | 2017-04-27T14:31:15Z | - |
dc.date.issued | 2017-03-31 | - |
dc.identifier | ORCiD: Alex Plastun https://orcid.org/0000-0001-8208-7135 | - |
dc.identifier | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier.citation | Caporale, G.M. and Plastun, A. (2017) 'Calendar anomalies in the Ukrainian stock market', Investment Management and Financial Innovations, 14 (1), pp. 104 - 114. doi: 10.21511/imfi.14(1).2017.11. | en_US |
dc.identifier.issn | 1810-4967 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/14477 | - |
dc.description.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. | en_US |
dc.format.extent | 104 - 114 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Business Perspectives | - |
dc.rights | Copyright © The author(s) 2024. This publication is an open access article published by Business Perspectives. This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (https://creativecommons.org/licenses/by-nc/4.0/), which permits re-use, distribution, and reproduction, provided the materials aren’t used for commercial purposes and the original work is properly cited.. | - |
dc.rights.uri | https://creativecommons.org/licenses/by-nc/4.0/ | - |
dc.subject | calendar anomalies | en_US |
dc.subject | day-of-the-week effect | en_US |
dc.subject | turn-of-the-month effect | en_US |
dc.subject | month-of-the-year effect | en_US |
dc.subject | January effect | en_US |
dc.subject | holiday effect | en_US |
dc.subject | Halloween effect | en_US |
dc.title | Calendar anomalies in the Ukrainian stock market | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.21511/imfi.14(1).2017.11 | - |
dc.relation.isPartOf | Investment Management and Financial Innovations | - |
pubs.issue | 1 | - |
pubs.publication-status | Published | - |
pubs.volume | 14 | - |
dc.identifier.eissn | 1812-9358 | - |
dc.rights.license | https://creativecommons.org/licenses/by-nc/4.0/legalcode.en | - |
dc.rights.holder | The author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © The author(s) 2024. This publication is an open access article published by Business Perspectives. This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (https://creativecommons.org/licenses/by-nc/4.0/), which permits re-use, distribution, and reproduction, provided the materials aren’t used for commercial purposes and the original work is properly cited.. | 222.53 kB | Adobe PDF | View/Open |
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