Calendar anomalies in the Ukrainian stock market
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DOIhttp://dx.doi.org/10.21511/imfi.14(1).2017.11
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Article InfoVolume 14 2017, Issue #1, pp. 104-114
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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.
- Keywords
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JEL Classification (Paper profile tab)G12, C63
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References32
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Tables21
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Figures3
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- Fig. B1. Average analysis case of PFTS index
- Fig. B2. Average analysis case of UX index
- Fig. B3. Average analysis case of UX futures
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- Table 1. Overall results for PFTS index
- Table 2. Overall results for UX index
- Table 3. Overall results for UX futures
- Table 4. Anomalies by month for the UX futures
- Table 5. Trading simulation results for the month-of-the-year effect (UX futures)
- Table 6. T-test for the trading simulation results for the month-of-the-year-effect (UX futures)
- Table 7. Trading simulation results for the Turn of the Year Effect (PFTS index)
- Table 8. T-test for the trading simulation results for the turn-of-the-year effect (PFTS index)
- Table 9. Trading simulation results for the Halloween effect (PFTS index)
- Table 10. T-test for the trading simulation results for the Halloween effect (PFTS index)
- Table A1. Literature review
- Table B1. T-test of the day-of-the-week effect for PFTS index
- Table B2. T-test of the day-of-the-week effect for UX index
- Table B3. T-test of the day-of-the-week effect for UX index futures
- Table B4. ANOVA test of the day-of-the-week effect for PFTS index
- Table B5. ANOVA test of the day-of-the-week effect for UX index
- Table B6. ANOVA test of the day-of-the-week effect for UX futures
- Table B7. Kruskal-Wallis test of the day-of-the-week effect for PFTS index
- Table B8. Kruskal-Wallis test of the day-of-the-week effect for UX index
- Table B9. Kruskal-Wallis test of the day-of-the-week effect for UX futures
- Table B10. Regression analysis with dummy variables of the day-of-the-week effect for PFTS index, UX index and UX index
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