Lyudmila Khomutenko
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Exploring frequency of price overreactions in the Ukrainian stock market
Alex Plastun , Inna Makarenko , Lyudmila Khomutenko , Yanina Belinska , Maryna Domashenko doi: http://dx.doi.org/10.21511/imfi.15(3).2018.13Investment Management and Financial Innovations Volume 15, 2018 Issue #3 pp. 157-168
Views: 1040 Downloads: 132 TO CITE АНОТАЦІЯThis paper explores the frequency of price overreactions in the Ukrainian stock market by focusing on the PFTS Index over the period 2006–2017 and UX index over the period 2008–2017, as well as some “blue chips” (BAVL, UNAF, MSICH, CEEN) for the period of 2013–2015. Using static approach to detect overreactions, a number of hypotheses are tested: the frequency of price overreactions is informative about crisis events in the economy (H1), can be used for price prediction purposes (H2), and exhibits seasonality (H3). To do this, various statistical tests (both parametric and non-parametric), including correlation analysis, augmented Dickey-Fuller tests (ADF), Granger causality tests, and regression analysis with dummy variables, are carried out. Hypotheses H1 and H2 are confirmed: frequency of price overreactions can be used as a crisis predictor (a sharp increase in the number of overreactions is associated with a crisis period) and could be used to predict stock returns. No seasonality in the overreactions frequency is found. Implications of this research include crisis prediction and stock market prices forecasting and can be used for designing trading strategies.
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Exploring price gap anomaly in the Ukrainian stock market
Alex Plastun , Inna Makarenko , Lyudmila Khomutenko , Svitlana Shcherbak , Olha Tryfonova doi: http://dx.doi.org/10.21511/imfi.16(2).2019.13Investment Management and Financial Innovations Volume 16, 2019 Issue #2 pp. 150-158
Views: 1155 Downloads: 185 TO CITE АНОТАЦІЯThis paper analyzes price gaps in the Ukrainian stock market for the case of UX index over the period 2009–2018. Using different statistical tests (Student’s t-tests, ANOVA, Mann-Whitney test) and regression analysis with dummy variables, as well as modified cumulative approach and trading simulation, the authors test a number of hypotheses searching for price patterns and abnormal market behavior related to price gaps: there is seasonality in price gaps (H1); price gaps generate statistical anomalies in the Ukrainian stock market (H2); upward gaps generate price patterns in the Ukrainian stock market (H3) and downward gaps generate price patterns in the Ukrainian stock market (H4). Overall results are consistent with the Efficient Market Hypothesis: there is no seasonality in price gaps and in most cases there is no evidences of price patterns or abnormal price behavior after the gaps in the Ukrainian stock market. Nevertheless, the authors find very strong and convincing evidences in favor of momentum effect on the days of negative gaps. These observations are confirmed by trading simulations: trading strategy based on detected price pattern generates profits and demonstrates overall efficiency, which is against the market efficiency. These results can be interesting both for academicians (further evidences against market efficiency) and practitioners (real and effective trading strategy to generate profits in the Ukrainian market market).
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Sustainable socio-economic development and Rainbow Europe Index
Yuriy Petrushenko , Fedir Zhuravka , Vladyslav Shapoval , Lyudmila Khomutenko , Olena Zhuravka doi: http://dx.doi.org/10.21511/ppm.19(4).2021.33Problems and Perspectives in Management Volume 19, 2021 Issue #4 pp. 408-421
Views: 563 Downloads: 125 TO CITE АНОТАЦІЯThe issues of recognizing the rights of the LGBTQ+ community around the world and developing appropriate anti-discrimination policies and laws are one of the main topics for discussion in the global agenda. This is due to the commitment of the world community to protect human rights and meet the needs of society. The paper aims to assess the relationship between socio-economic development indicators of some European countries and the Rainbow Europe Index. To find out how discrimination against the LGBTQ+ community affects various social and economic development indicators of some European countries, a data matrix was developed and the Spearman rank correlation coefficient was calculated. The obtained results confirmed a positive relationship between the Rainbow Europe Index and GDP per capita, the Human Development Index, the Corruption Index, and the Index of Happiness. Calculations have shown that the Rainbow Europe Index had a significant impact on these indicators. The study proved the dependence of indicators and demonstrated the need to provide freedoms and rights for LGBTQ+ affiliated members in Ukraine and other European countries.
Acknowledgment
This paper is published as a part of research projects “Convergence of economic and educational transformations in the digital society: modeling the impact on regional and national security” (No. 0121U109553) and “Reforming the lifelong learning system in Ukraine for the prevention of the labor emigration: a coopetition model of institutional partnership” (No. 0120U102001). -
Persistence in the cryptocurrency market: does size matter?
Alex Plastun , Liudmyla Slіusareva , Dmytro Sliusarev , Valentyna Smachylo , Lyudmila Khomutenko doi: http://dx.doi.org/10.21511/imfi.20(4).2023.12Investment Management and Financial Innovations Volume 20, 2023 Issue #4 pp. 138-146
Views: 349 Downloads: 94 TO CITE АНОТАЦІЯThis paper investigates the persistence in the cryptocurrency market, focusing on five distinct groups categorized by their market capitalization during the sample period from 2020 to 2023. The study aims to test two hypotheses: (H1) The degree of persistence in the cryptocurrency market is contingent on market capitalization, and (H2) The efficiency of the cryptocurrency market has increased in recent years. The methodology employed for this examination is R/S analysis. The results indicate that the cryptocurrency market maintains its inefficiency, and no significant variations in persistence are discerned among different cryptocurrency groups, leading to the rejection of H1. Outcomes related to H2 present a nuanced scenario. Specifically, Litecoin and Ripple exhibit supportive evidence for the Adaptive Market Hypothesis, suggesting an improvement in the efficiency of the cryptocurrency market in recent years. A noteworthy revelation pertains to the anomaly observed in Bitcoin. Despite being the most capitalized and liquid cryptocurrency, it demonstrates inefficiency akin to levels observed five years ago. The implications of this study contribute to the comprehension of cryptocurrency market efficiency. The findings challenge the assumptions of the Efficient Market Hypothesis, favoring instead the Adaptive Market Hypothesis. For practitioners, the results hold significance, providing evidence of price predictability, particularly in the case of Bitcoin. This suggests that trend trading strategies remain viable for generating abnormal profits in the cryptocurrency market.
Acknowledgments
Alex Plastun gratefully acknowledges financial support from the Ministry of Education and Science of Ukraine (0121U100473). -
SDGs and ESG disclosure regulation: is there an impact? Evidence from Top-50 world economies
Alex Plastun , Inna Makarenko , Lyudmila Khomutenko , Oksana Osetrova , Pavlo Shcherbakov doi: http://dx.doi.org/10.21511/ppm.18(2).2020.20Problems and Perspectives in Management Volume 18, 2020 Issue #2 pp. 231-245
Views: 1802 Downloads: 358 TO CITE АНОТАЦІЯThis paper explores the influence of the ESG disclosure regulation (government corporate ESG disclosure and non-government corporate ESG disclosure) on the ranking in 50 largest economies. Applying various statistical methods and techniques, including both parametrical (Student’s t-test, ANOVA analysis) and non-parametrical (Mann-Whitney U test) tests, simple average analysis, OLS with dummy variables method and multiple linear regression analysis, as well as correlation analysis and Granger causality test, several hypotheses are tested. The hypotheses stipulate whether or not ESG disclosure regulation differs in developed and emerging countries and whether or not ESG disclosure regulation influences the country’s SDGI ranking, as well as the ranking of the country among 50 largest economies. According to the results, the differences in ESG disclosure regulation are statistically significant in developed and emerging countries. The level of ESG disclosure compliance is higher in developed countries. ESG disclosure regulation influences the position of the country in SDGI and 50 largest economies rankings. The more country complies with ESG disclosure criteria, the better position in rankings is. Incorporation of ESG criteria is an important evolutionary step in economic development of the country. It allows increasing position of the country in 50 largest economies and SDGI ranking. Thus, ESG disclosure regulation is vital for the development of the country in the modern world.
Acknowledgment
Comments from the Editor and anonymous referees have been gratefully acknowledged. Alex Plastun gratefully acknowledges financial support from the Ministry of Education and Science of Ukraine (0117U003936). Inna Makarenko gratefully acknowledges financial support from the Ministry of Education and Science of Ukraine (0117U003933).
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