Abstract
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.
Highlights
Stock markets often exhibit a variety of so-called calendar anomalies, including the day-of-the-week effect, the turn-of-the-month effect, the month-ofthe-year effect, the January effect, the Holiday effect, the Halloween effect etc
It employs various statistical techniques and a trading simulation approach to test for the presence of the following anomalies: day-of-theweek effect; turn-of-the-month effect; turn-of-the-year effect; month-of-the-year effect; January effect; holiday effect; Halloween effect
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
Summary
Stock markets often exhibit a variety of so-called calendar anomalies, including the day-of-the-week effect, the turn-of-the-month effect, the month-ofthe-year effect, the January effect, the Holiday effect, the Halloween effect etc. These have been extensively analyzed in numerous empirical studies providing mixed evidence. The present paper aims to fill this gap by using various statistical techniques (average analysis, parametric tests such as Student’s t-test and ANOVA analysis, non-parametric techniques such as the Kruskal-Wallis test, regression analysis with dummy variables) to test for the presence of calendar anomalies in the Ukrainian stock market To establish whether such effects are not just statistical anomalies, but can be exploited by adopting appropriate trading strategies, we employ a trading simulation approach. The present one is the first comprehensive study of calendar anomalies in Ukraine
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