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Publication date: 14 November 2016

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and Alex Plastun

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…

Abstract

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.

Details

Journal of Economic Studies, vol. 43 no. 6
Type: Research Article
ISSN: 0144-3585

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