scholarly journals January effect: 200 years of evolution in the us stock market

2018 ◽  
Vol 2 (1) ◽  
pp. 27-33
Author(s):  
Alex Plastun ◽  
Vyacheslav Plastun
Keyword(s):  
Stock Market ◽  
January Effect ◽  
Simulation Approach ◽  
Comprehensive Investigation ◽  
Average Analysis ◽  
The Us ◽  
Student’S T ◽  
Xix Century ◽  
Trading Simulation ◽  
Student’S T Test

This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading simulation approach to analyze the evolution of this anomaly. The results suggest that January effect during the XVIII–XXI century passed the way from rise to fall. The rise of the January Effect starts in the end of the XIX century and this anomaly mostly disappeared in middle of the XX century. Nowadays the January Effect is not present in the US stock market, but even today January stays one of the best months for purchases in the US stock market.

scholarly journals Calendar anomalies in the Ukrainian stock market

2017 ◽  
Vol 14 (1) ◽  
pp. 104-114 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Stock Market ◽  
Simulation Analysis ◽  
January Effect ◽  
Year Effect ◽  
Average Analysis ◽  
Day Of The Week ◽  
Calendar Anomalies ◽  
Student’S T ◽  
Trading Simulation ◽  
Halloween Effect

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.

scholarly journals The weekend effect: an exploitable anomaly in the Ukrainian stock market?

2016 ◽  
Vol 43 (6) ◽  
pp. 954-965 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis Alberiko Gil-Alana ◽  
Alex Plastun
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Fractional Integration ◽  
Weekend Effect ◽  
Statistical Techniques ◽  
Simulation Approach ◽  
Content Type ◽  
Dummy Variables ◽  
Average Analysis ◽  
Trading Simulation

Purpose The purpose of this paper is to provide some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques. Design/methodology/approach The analysis uses various statistical techniques (average analysis, Student’s t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits. Findings The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25 per cent. The implication is that the Ukrainian stock market is inefficient. Originality/value This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student’s t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits. The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25 per cent. The implication is that the Ukrainian stock market is inefficient.

scholarly journals Exploring price gap anomaly in the Ukrainian stock market

2019 ◽  
Vol 16 (2) ◽  
pp. 150-158 ◽  
Author(s):  
Alex Plastun ◽  
Inna Makarenko ◽  
Lyudmila Khomutenko ◽  
Svitlana Shcherbak ◽  
Olha Tryfonova
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Statistical Tests ◽  
Efficient Market Hypothesis ◽  
Trading Strategy ◽  
Momentum Effect ◽  
Dummy Variables ◽  
Price Patterns ◽  
Student’S T ◽  
Trading Simulation

This 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).

IS THERE A FRIDAY EFFECT IN FINANCIAL MARKETS?

2018 ◽  
Vol 11 (2) ◽  
pp. 38-59
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Commodity Markets ◽  
Market Returns ◽  
Gold Market ◽  
Average Analysis ◽  
Day Of The Week ◽  
Student’S T ◽  
Abnormal Profits ◽  
Student’S T Test

This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits. 

scholarly journals The Other Month Effect: A Re-Examination of the "Other January" Anomaly

2013 ◽  
Vol 16 (02) ◽  
pp. 1350011 ◽  
Author(s):  
Ali F. Darrat ◽  
Bin Li ◽  
Richard Chung
Keyword(s):  
Stock Market ◽  
Extended Period ◽  
The Other ◽  
January Effect ◽  
Sample Period ◽  
Holding Period ◽  
The Us ◽  
Abnormal Profits ◽  
Do So ◽  
Other January Effect

Cooper et al. (2006) find support for the "other January" effect in the US market over the period from January 1940 to December 2003 whereby the 11-month holding period returns following positive January returns are on average higher than those 11 months following negative January returns. Under this scenario, January returns can predict the subsequent 11-month holding period returns implying the potential for abnormal profits. We revisit this "anomaly" in the US stock market using the extended period from July 1926 to January 2012. Over the shorter period of 1940–2003 used by CMO, the results are supportive of the "other January" effect and they do so for several alternative holding periods. However, this alleged "other January" effect disappears once we expand the period. Moreover, we find similar and perhaps stronger anomalies for non-January months, particularly February and September. The evidence we uncover in this paper suggests that this alleged "other January" effect is likely sample-period sensitive and further, it is not specific to the month of January.

scholarly journals The use of ultrasound during Anterolateral Ligament (ALL) reconstruction improves femoral positioning

2021 ◽  
Vol 9 (2_suppl) ◽  
pp. 2325967121S0001
Author(s):  
Etienne Cavaignac ◽  
Dany Mouarbes ◽  
Marie Castoldi ◽  
Emilie Berard ◽  
Reina Nicolas
Keyword(s):  
Group Versus ◽  
Quality Criteria ◽  
Invasive Technique ◽  
Theoretical Point ◽  
Insertion Point ◽  
Lateral Epicondyle ◽  
Postoperative Control ◽  
The Us ◽  
Student’S T ◽  
Student’S T Test

Objectives: We developed a minimally invasive technique for ALL reconstruction with the gracilis tendon folded in two strands. This is done by palpating the bone contours or under ultrasound control. Our hypothesis is that ultrasound control improves the positioning of the graft. Methods: We conducted a prospective controlled before-after study. All the patients who had an anatomical ALL reconstruction surgery were included. Patients for whom the postoperative control radiographs of a strict cross-section of the knee did not meet the quality criteria were excluded. The first 60 patients included were palpated for lateral epicondyle location, and for the next 60 patients ultrasound was used. The primary endpoint was the distance measured along an antero-posterior and proximo-distal axis between the graft insertion point and the theoretical ALL insertion point. The comparative analysis was carried out by student’s t-test. We determined the number of subjects to be included at 60 per group by assuming a minimum of 90% of grafts ≤5 mm in the "US" group versus 50% in the "palpation" group. Results: 120 patients were included in 2 groups of 60 (US vs. palpation) with no statistical difference. The mean anteroposterior distance between the theoretical point and the point identified in the palpation group was 6.3 mm (+/- 2.4) and 1.2 mm (+/- 1.1) in the ultrasound group (p<0.001). Conclusion: Our hypothesis was confirmed. Ultrasound control improves the positioning of the ALL graft.

scholarly journals Momentum and contrarian effects in the Ukrainian stock market: case of daily overreactions

2020 ◽  
Vol 17 (1) ◽  
pp. 24-34
Author(s):  
Alex Plastun ◽  
Nataliya Strochenko ◽  
Olga Zhmaylova ◽  
Liudmyla Sliusareva ◽  
Sergiy Bashlay
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Cumulative Abnormal Returns ◽  
Average Analysis ◽  
Overreaction Hypothesis ◽  
Price Patterns ◽  
Low Efficiency ◽  
Trading Simulation

This paper examines momentum and contrarian effects in the Ukrainian stock market after one-day abnormal returns. To do this, UX futures data over the period 2010–2018 are used. The following hypotheses are tested: H1) hourly returns on overreaction days differ from hourly returns on normal days, H2) there are price patterns on overreaction days, and H3) to test these hypotheses, visual inspection and average analysis are used, as well as t-tests, cumulative abnormal returns, and trading simulation approaches. The results suggest that there are statistically significant differences between intraday dynamics during the usual days and the overreactions day. There is a strong momentum effect present on the day of overreaction: prices tend to change only in the direction of the overreaction during the whole day. The fact of the overreaction becomes clear after 13:00-14:00. This gives a lot of time to explore the momentum effect in the day of overreaction. On the day after the overreaction, prices tend to go in the opposite direction: contrarian pattern is detected, which is in line with the overreaction hypothesis. Based on detected price patterns, rules of trading and trading strategies for the Ukrainian stock market are developed. Momentum Strategy (based on price patterns on the day of overreaction) generates several successful trades; close to with 90%, and their number being is profitable (trading results differ from the random ones – confirmed by t-tests). Contrarian Strategy (based on price patterns on the day after the overreaction) demonstrates low efficiency, and results do not differ from random trading.

scholarly journals Effects of Traumatic Amputation on β-Trace Protein and β2-Microglobulin Concentrations in Male Soldiers

2015 ◽  
Vol 42 (6) ◽  
pp. 436-442 ◽  
Author(s):  
Dustin J. Little ◽  
Christina M. Yuan ◽  
John S. Thurlow ◽  
Verena Gounden ◽  
Sonia Q. Doi ◽  
...  
Keyword(s):  
Body Weight Loss ◽  
Control Group ◽  
Traumatic Amputation ◽  
Β2 Microglobulin ◽  
The Us ◽  
Us Government ◽  
The Usa ◽  
Post Traumatic ◽  
Student’S T ◽  
Student’S T Test

Background: Serum creatinine (SCr) levels are decreased following traumatic amputation, leading to the overestimation of glomerular filtration rate (GFR). β-Trace protein (BTP) and β2-microglobulin (B2M) strongly correlate with measured GFR and have not been studied following amputation. We hypothesized that BTP and B2M would be unaffected by traumatic amputation. Methods: We used the Department of Defense Serum Repository to compare pre- and post-traumatic amputation serum BTP and B2M levels in 33 male soldiers, via the N Latex BTP and B2M nephelometric assays (Siemens Diagnostics, Tarrytown, N.Y., USA). Osterkamp estimation using DEXA scan measurements was used to establish percent estimated body weight loss (%EBWL). Results were analyzed for small (3-5.9% EBWL), medium (6-13.5%), and large (>13.5%) amputation subgroups; and for a control group matched 1:1 to the 12 large amputation subjects. Paired Student's t test was used for comparisons. Results: Mean serum BTP levels were unchanged in controls, all amputees, and the small and medium amputation subgroups. BTP appeared to decrease following large %EBWL amputation (p = 0.05). Mean serum B2M levels were unchanged in controls, all amputees, and the small and medium amputation subgroups. B2M appeared to increase following large %EBWL amputation (p = 0.05). Conclusions: BTP and B2M levels are less affected than SCr by amputation, and should be considered for future study of GFR estimation. BTP and B2M changes following large %EBWL amputation require validation and may offer insight into non-GFR BTP and B2M determinants as well as increased cardiovascular disease and mortality following amputation. This is a work of the US Government and is not subject to copyright protection in the USA. Foreign copyrights may apply. Published by S. Karger AG, Basel

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

Sign in / Sign up

Export Citation Format

Share Document