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

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).

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).

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 Price overreactions in the cryptocurrency market

2019 ◽  
Vol 46 (5) ◽  
pp. 1137-1155 ◽  
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.

scholarly journals Stock market under the 2016 Brazilian presidential impeachment: a test in the semi-strong form of the efficient market hypothesis,

2018 ◽  
Vol 29 (78) ◽  
pp. 405-417
Author(s):  
Alexandre Ricardo de Aragão Batista ◽  
Uxi Maia ◽  
Alécio Romero
Keyword(s):  
Stock Market ◽  
Moving Average ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Strong Form ◽  
Autoregressive Moving Average ◽  
Specific Situation ◽  
Efficient Market ◽  
Time Series Regression ◽  
Cumulative Abnormal Returns

ABSTRACT This article aims at contributing to study the stock market’s reaction up to the point of generating significant abnormal returns or cumulative abnormal returns within the Brazilian impeachment period. By means of the efficient market hypothesis (EMH), in its semi-strong form, the purpose was verifying whether the presidential impeachment that took place in Brazil in 2016, in 3 different dates, brought the expected reaction from the stock market on the Brazilian Stocks, Commodities and Futures Exchange (BM&FBOVESPA). The theme is relevant, as it addresses aspects of politics and economic theory and their interactions in stock markets. It impacts in the area of capital markets, because this suggests that economic players can, through their expectations and information, see adverse reactions in the market. The methodology analytically employed encompasses a brief literature review as a theoretical basis about the institutions involved and it refers historically to impeachment events. Quantitatively, the methodology consists in the study of events, so that the expectations are observed by means of time-series regression models based on the autoregressive-moving-average (ARMA) models. The result found, under three major events that culminated in the 2016 Brazilian presidential impeachment, was that no significant statistics has been determined, at a 5% level, in all estimated windows and in all events. Statistically, it was not possible to reject the hypothesis that the abnormal returns and the cumulative abnormal returns equal zero. So, the markets have been considered to be well-informed regarding the events, in this specific situation, i.e. according to the EMH, in its semi-strong form, the markets have reacted as expected.

scholarly journals Gold and oil prices: abnormal returns, momentum and contrarian effects

2021 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Abnormal Returns ◽  
Oil Prices ◽  
Momentum Effect ◽  
Price Momentum ◽  
Average Analysis ◽  
Price Effects ◽  
Time Gap ◽  
Abnormal Profits ◽  
Trading Simulation ◽  
Specific Timing

AbstractThis paper explores price (momentum and contrarian) effects and their timing parameters on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily gold and oil price data over the period 01.01.2009–31.03.2020 the following hypotheses are tested: (H1) there is a time gap between the detection of an abnormal return day and the end of that day, (H2) there are price effects on the day after abnormal returns occur; (H3) price effects after 1-day abnormal returns have identifiable timing parameters; (H4) the detected timing parameters can be used to “beat the market”. For these purposes average analysis, t tests, CAR and trading simulation approaches are used. The main results can be summarised as follows. Prices tend to move in the direction of abnormal returns till the end of the day when these occur. The presence of abnormal returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can be detected. On the following day two different price patterns are detected: a momentum effect for oil prices and a contrarian effect for gold prices, respectively. These effects are limited in time, and the corresponding timing parameters are estimated. Trading simulations show that these effects can be exploited to generate abnormal profits with an appropriate calibration of the timing parameters.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

An investigation of time varying market efficiency: evidence from STOXX Europe Christian index

2021 ◽  
Vol 37 (4) ◽  
pp. 631-643
Author(s):  
Tayyaba Yousaf ◽  
Sadia Farooq ◽  
Ahmed Muneeb Mehta
Keyword(s):  
Price Index ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Time Varying ◽  
Content Type ◽  
Daily Data ◽  
New Information ◽  
Academic Researchers ◽  
The Impact

Purpose The purpose of this study is to investigate whether the STOXX Europe Christian price index (SECI) follows the premise of efficient market hypothesis (EMH). Design/methodology/approach The study used daily data of SECI for the period of 15 years as its launch date i.e. 31 December 2004 to 31 December 2019. Data are analyzed by taking a full-length sample and fixed-length subsample. For subsample, the data are divided into five subsamples of three years each. Subsample analysis is important for analyzing time varying efficiency of the series, as the market is said to follow EMH if it is being efficient throughout the sample. Both type of samples is examined through linear tests including autocorrelations test and variance ratio (VR) test. Findings Tests applied conclude that SECI is weak-form efficient, which means that the prices of the index include all the relevant past information and immediately react to new information. Hence, the investors cannot earn abnormal returns. Originality/value Religion-based indices grasped the attention of investors, policymakers and academic researchers because of increased concern over ethics in business. Though the impact of religion on the economy have been studied in many ways but the efficiency of religion-based indices have been less explored. The current study is primary in its nature as it analysis the efficiency of SECI. This index is important to explore because Christianity is the world’s top religion with 2.3 billion followers around the globe.

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