Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/11931
Title: The weekend effect: an exploitable anomaly in the Ukrainian stock market?
Authors: Caporale, GM
Gil-Alana, L
Plastun, A
Keywords: Efficient Market Hypothesis;Weekend Effect;Trading Strategy
Issue Date: 2016
Citation: Journal of Economic Studies, (2016)
Abstract: 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 ttest, 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%. The implication is that the Ukrainian stock market is inefficient.
URI: http://bura.brunel.ac.uk/handle/2438/11931
ISSN: 1758-7387
Appears in Collections:Dept of Economics and Finance Research Papers

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