Abstract
This paper explores the frequency of price overreactions in the Ukrainian stock market by focusing on the PFTS Index over the period 2006–2017 and UX index over the period 2008–2017, as well as some “blue chips” (BAVL, UNAF, MSICH, CEEN) for the period of 2013–2015. Using static approach to detect overreactions, a number of hypotheses are tested: the frequency of price overreactions is informative about crisis events in the economy (H1), can be used for price prediction purposes (H2), and exhibits seasonality (H3). To do this, various statistical tests (both parametric and non-parametric), including correlation analysis, augmented Dickey-Fuller tests (ADF), Granger causality tests, and regression analysis with dummy variables, are carried out. Hypotheses H1 and H2 are confirmed: frequency of price overreactions can be used as a crisis predictor (a sharp increase in the number of overreactions is associated with a crisis period) and could be used to predict stock returns. No seasonality in the overreactions frequency is found. Implications of this research include crisis prediction and stock market prices forecasting and can be used for designing trading strategies.
Highlights
The world economy under globalization is characterized by a significant level of turbulence
The present study provides a systematic analysis of the overreactions frequency in the Ukrainian stock market to examine issues such as their predicative abilities for the cases of crises prediction as well as price prediction in the stock market, seasonal patterns and information content by testing the following hypotheses: the frequency of overreactions is informative about crisis event in economy (H1), the frequency of overreactions can be used for price prediction purposes (H2), and price overreactions exhibit seasonality (H3)
This paper explores the frequency of price overreactions in the Ukrainian stock market by focusing on the PFTS Index over the period 2006–2017 and UX index over the period 2008–2017
Summary
The world economy under globalization is characterized by a significant level of turbulence. The present study provides a systematic analysis of the overreactions frequency in the Ukrainian stock market to examine issues such as their predicative abilities for the cases of crises prediction as well as price prediction in the stock market, seasonal patterns and information content by testing the following hypotheses: the frequency of overreactions is informative about crisis event in economy (H1), the frequency of overreactions can be used for price prediction purposes (H2), and price overreactions exhibit seasonality (H3). For this purpose, a number of statistical tests (both parametric and non-parametric) are carried out. Economy and the phases of crisis correlate with the changes in the frequency of overreactions
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
