Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/11931
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, L-
dc.contributor.authorPlastun, A-
dc.date.accessioned2016-01-27T15:53:09Z-
dc.date.available2016-01-27T15:53:09Z-
dc.date.issued2016-
dc.identifier.citationJournal of Economic Studies, (2016)en_US
dc.identifier.issn1758-7387-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/11931-
dc.description.abstractThis 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.en_US
dc.language.isoenen_US
dc.subjectEfficient Market Hypothesisen_US
dc.subjectWeekend Effecten_US
dc.subjectTrading Strategyen_US
dc.titleThe weekend effect: an exploitable anomaly in the Ukrainian stock market?en_US
dc.typeArticleen_US
dc.relation.isPartOfJournal of Economic Studies-
pubs.publication-statusAccepted-
pubs.publication-statusAccepted-
Appears in Collections:Dept of Economics and Finance Research Papers

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