Exploring price gap anomaly in the Ukrainian stock market

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).

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

Investment Management and Financial Innovations ◽

10.21511/imfi.17(1).2020.03 ◽

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.

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Daily abnormal returns and price effects in the “passion investments” market

Investment Management and Financial Innovations ◽

10.21511/imfi.18(4).2021.13 ◽

2021 ◽

Vol 18 (4) ◽

pp. 141-149

Author(s):

Alex Plastun ◽

Ahniia Havrylina ◽

Liudmyla Sliusareva ◽

Nataliya Strochenko ◽

Olga Zhmaylova

Keyword(s):

Financial Support ◽

Abnormal Returns ◽

Efficient Market Hypothesis ◽

Ministry Of Education ◽

Momentum Effect ◽

Dummy Variables ◽

Cumulative Abnormal Returns ◽

Price Effects ◽

Price Patterns ◽

Extreme Returns

This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher than returns on “normal” days. On the days after positive abnormal returns, the momentum effect is detected. Contrarian effect is typical for the days after negative abnormal returns. A trading strategy based on detected price effects showed the presence of exploitable profit opportunities. Results of this paper provide additional pieces of evidence in favor of inconsistencies between the efficient market hypothesis and practice and can be used by traders to generate extra profits in the “passion investments” market. Acknowledgment The authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0121U100473).

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

Geopolitics under Globalization ◽

10.21511/gg.02(1).2018.04 ◽

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.

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Price overreactions in the cryptocurrency market

Journal of Economic Studies ◽

10.1108/jes-09-2018-0310 ◽

2019 ◽

Vol 46 (5) ◽

pp. 1137-1155 ◽

Cited By ~ 4

Author(s):

Guglielmo Maria Caporale ◽

Alex Plastun

Keyword(s):

Regression Analysis ◽

Transaction Costs ◽

Design Methodology ◽

Efficient Market Hypothesis ◽

Efficient Market ◽

Price Changes ◽

Content Type ◽

Dummy Variables ◽

Price Patterns ◽

Non Parametric

Purpose The purpose of this paper is to examine price overreactions in the case of the following cryptocurrencies: bitcoin, litecoin, ripple and dash. Design/methodology/approach A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U-test) tests confirm the presence of price patterns after overreactions: the next day price changes in both directions are bigger than after “normal” days. A trading robot approach is then used to establish whether these statistical anomalies can be exploited to generate profits. Findings The results suggest that a strategy based on counter-movements after overreactions is not profitable, whilst one based on inertia appears to be profitable but produces outcomes not statistically different from the random ones. Therefore, the overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the efficient market hypothesis (EMH). Originality/value The overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the EMH.

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Momentum Effect all over the World

International Journal of Banking and Finance - Vol. 15, Number 2, 2020 ◽

10.32890/ijbf2019.14.0.9912 ◽

2020 ◽

Author(s):

Zulfiqar Ali Imran ◽

Woei-Chyuan Wong ◽

Rusmawati Ismail

Keyword(s):

Stock Market ◽

Efficient Market Hypothesis ◽

Investment Strategies ◽

Momentum Effect ◽

Efficient Market ◽

Momentum Strategies ◽

The World ◽

Pertinent Question

This study is intended to reaffirm the existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018. The contradictory findings of previous research on the existence and profitability of momentum strategies have raised a pertinent question on the validity of efficient market hypothesis. We documented the momentum effect in 90% of our sample countries of which 52.5% exhibited positive momentum effect while 37.5% exhibited negative momentum effect. The findings were robust to two distinct sub-period analyses. The clear rejection of efficient market hypotheses is valuable to momentum traders and stock market regulators.

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THE EFFICIENT MARKET HYPOTHESIS: A CRITICAL REVIEW OF LITERATURE AND METHODOLOGY

Ekonomika ◽

10.15388/ekon.2014.2.3549 ◽

2014 ◽

Vol 93 (2) ◽

pp. 7-23 ◽

Cited By ~ 13

Author(s):

Augustas Degutis ◽

Lina Novickytė

Keyword(s):

Stock Market ◽

Market Efficiency ◽

Capital Markets ◽

Intrinsic Value ◽

Weak Form ◽

Efficient Market Hypothesis ◽

Current Status ◽

Efficient Market ◽

Baltic Countries ◽

The Baltic

The development of the capital markets is changing the relevance and empirical validity of theefficient market hypothesis. The dynamism of capital markets determines the need for efficiency research. The authors analyse the development and the current status of the efficient market hypothesis with an emphasis on the Baltic stock market. Investors often fail to earn an excess profit, but yet stock market anomalies are observed and market prices often deviate from their intrinsic value. The article presents an analysis of the concept of efficient market. Also, the market efficiency evolution is reviewed and its current status is analysed. This paper presents also an examination of stock market efficiency in the Baltic countries. Finally, the research methods are reviewed and the methodology of testing the weak-form efficiency in a developing market is suggested.

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

Journal of Economic Studies ◽

10.1108/jes-09-2015-0167 ◽

2016 ◽

Vol 43 (6) ◽

pp. 954-965 ◽

Cited By ~ 7

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.

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Empirical Testing of the Response of Czech Stock Market to Downgrades of Greek Credit Rating in the Light of the Efficient Market Hypothesis

Financial Assets and Investing ◽

10.5817/fai2018-1-4 ◽

2018 ◽

Vol 9 (1) ◽

pp. 57-71 ◽

Cited By ~ 1

Author(s):

Petr Seďa ◽

Juan Antonio Jimber del Río ◽

María De los Baños García-Moreno García

Keyword(s):

Stock Market ◽

Credit Rating ◽

Statistical Tests ◽

Abnormal Returns ◽

Efficient Market Hypothesis ◽

Empirical Testing ◽

Efficient Market ◽

Nonparametric Statistical ◽

The Impact ◽

Analytical Approaches

Empirical testing of the linkages between macroeconomic news and asset price movements in terms of response to released macroeconomic information have been a subject of many investigations using different testing methods. The objective of this paper is to study the impact of announcements of Greek credit rating downgrades on the prices of the most liquid assets quoted in the Czech stock market. This issue is tightly related to semi-strong form of the efficient market hypothesis, which is one of possible analytical approaches when analyzing behaviour of assets in financial markets. The reaction of the Czech stock market is assessed in relation to seven announcements of Moody´s rating agency regarding changes of credit rating of Greek government bonds in the period 2009–2012. For the purpose of this paper, the event study methodology is applied. The basic idea of this statistical method is to determine values of abnormal returns, which can be defined as a difference between actual and equilibrium returns. In order to calculate equilibrium returns, the Capital Asset Pricing Model (CAPM) is used. The differences between actual and equilibrium returns are then verified with a help of selected nonparametric statistical tests. Namely, the exact sign test and the Wilcoxon signed-rank test are utilized. Based on results of nonparametric statistical tests, the null hypothesis of information efficiency of the Czech stock market is conclusively rejected.

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Calendar anomalies in the Ukrainian stock market

Investment Management and Financial Innovations ◽

10.21511/imfi.14(1).2017.11 ◽

2017 ◽

Vol 14 (1) ◽

pp. 104-114 ◽

Cited By ~ 4

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.

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Collective dynamics of stock market efficiency

Scientific Reports ◽

10.1038/s41598-020-78707-2 ◽

2020 ◽

Vol 10 (1) ◽

Author(s):

Luiz G. A. Alves ◽

Higor Y. D. Sigaki ◽

Matjaž Perc ◽

Haroldo V. Ribeiro

Keyword(s):

Stock Market ◽

Market Efficiency ◽

Stock Prices ◽

Stock Markets ◽

Time Windows ◽

Efficient Market Hypothesis ◽

Permutation Entropy ◽

Informational Efficiency ◽

Stock Market Efficiency ◽

High Level

AbstractSummarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the efficiency of stock markets, most studies assume this efficiency to be constant over time so that its dynamical and collective aspects remain poorly understood. Here we define the time-varying efficiency of stock markets by calculating the permutation entropy within sliding time-windows of log-returns of stock market indices. We show that major world stock markets can be hierarchically classified into several groups that display similar long-term efficiency profiles. However, we also show that efficiency ranks and clusters of markets with similar trends are only stable for a few months at a time. We thus propose a network representation of stock markets that aggregates their short-term efficiency patterns into a global and coherent picture. We find this financial network to be strongly entangled while also having a modular structure that consists of two distinct groups of stock markets. Our results suggest that stock market efficiency is a collective phenomenon that can drive its operation at a high level of informational efficiency, but also places the entire system under risk of failure.

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