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http://bura.brunel.ac.uk/handle/2438/14477
Title: | Calendar anomalies in the Ukrainian stock market |
Authors: | Caporale, GM Plastun, A |
Keywords: | calendar anomalies;day-of-the-week effect;turn-of-the-month effect;month-of-the-year effect;January effect;holiday effect;Halloween effect |
Issue Date: | 31-Mar-2017 |
Publisher: | Business Perspectives |
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. |
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. |
URI: | https://bura.brunel.ac.uk/handle/2438/14477 |
DOI: | https://doi.org/10.21511/imfi.14(1).2017.11 |
ISSN: | 1810-4967 |
Other Identifiers: | ORCiD: Alex Plastun https://orcid.org/0000-0001-8208-7135 ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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