Exploring price gap anomaly in the Ukrainian stock market

Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.

The banking industry is one of the major industries in the Vietnamese stock market, so understanding how the industry index reacts to unusual events such as COVID-19’s impact is very important for the development of the Vietnamese stock market. This study examines the response of the banking sector index to three lockdown/blockage announcements to prevent the COVID-19 epidemic in Vietnam in 2020. Three times of lockdown/blockage: On February 13, 2020, blockade of Son Loi commune, Vinh Phuc province; on March 30, 2020, Vietnam announced the nationwide epidemic of COVID-19 and then nationwide lockdown, and on July 28, 2020, blockade in Da Nang. In the first case, the abnormal returns changed the sign around the notification date indicating that the stock price deviated from its fair value, but accumulating abnormal returns CAR (0;3] and CAR (0; 2] are both positive and statistically significant, which means that investors are more secure when the epidemic area is tightly controlled. The nationwide lockdown was the event that had the strongest impact on the stock price when both AR and CAR were negative and statistically significant before and after the date of the event’s announcement. Nationwide lockdown was the event that had the strongest impact on stock prices as both AR and CAR were negative in the days before and days after the event. This result supports the theory of imperfect substitution. Only AR [2] was positive and statistically significant, showing that the blockade event in Da Nang had a slight impact on the banking sector’s stock price.

The impact of news on individual investor decision is explicit as investors need to update, adapt and forecast returns with constraints of time, uncertainty and resources to be successful. The aim is to understand and review the influence of news on individual investor’s decision making in stock markets and identify the impact of different type of news on individual investor’s decision making in stock markets, assess the behavioral reaction and investment decisions made by investors before and after there is news item, identify the linking effect on behavioral theories and biases, develop a generalized decision making conceptual model to understand the impact of news on investor’s reaction, decision and its linkages along with the behavioral bias. Theoretical basis/methodology for processing of news by investors is assumed to be based on Broadbent’s filter theory (1958) and due to cognitive informational inefficiency of investors it assesses the attention and the investor’s reaction of overreaction and underreaction, which do not comply with efficient market hypothesis theory. The reasons for its noncompliance are found by relating it with behavioral theories. The results explain how investor screens with filters and give attention to news only when it affects their portfolio or investment objective and strategies. It is concluded that investor’s decision making depends on degree of information penetration, information content, information influence, specific internal factors and generic external and on investors prevailing at that given circumstances. This gives us the solution to comprehend the investor’s reaction, decision and unresolved reversals, short- and long-term overreaction.