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

被引：7

作者：

Caporale, Guglielmo Maria ^{[1
,2
]}

Gil-Alana, Luis Alberiko ^{[3
]}

Plastun, Alex ^{[4
]}

机构：

[1] Brunel Univ London, Econ & Finance, Uxbridge, Middx, England

[2] Brunel Univ London, Ctr Empir Finance, Uxbridge, Middx, England

[3] Univ Navarra, Dept Econ, Pamplona, Spain

[4] Ukrainian Acad Banking, Finance, Sumy, Ukraine

来源：

JOURNAL OF ECONOMIC STUDIES | 2016年 / 43卷 / 06期

关键词：

Ukraine; Trading strategy; Weekend effect; Efficient market hypothesis;

D O I：

10.1108/JES-09-2015-0167

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：954 / 965

页数：12

共 41 条

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