Calendar anomalies in the Ukrainian stock market

  • Released On
    Friday, 31 March 2017
  • Author(s)
    Guglielmo Maria Caporale ,
    E-mail:
    Alex Plastun
    ORCID Researcher ID
  • DOI
    http://dx.doi.org/10.21511/imfi.14(1).2017.11
  • Article Info
    Volume 14 2017, Issue #1, pp. 104-114
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    2 articles
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Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

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.

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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
    • 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