Календарні ефекти та аномалії на українському фондовому ринку: теорія і практика

The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidence of daily, monthly and quarterly returns of PFTS-index and their volatility are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was found. It can be explained due to the cyclical character of some industries, cyclical shares and calendar character of exchange rate fluctuations.

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Alternative title:	The Calendar Effects and Anomalies on Ukrainian Stock Market: Theory and Empirical Evidence
Year of publication:	2011
Authors:	Petrushchak, Bohdan
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Calendar effects \| December effect \| stock market anomalies \| volatility and rate of return of PFTS-Index \| self-fulfilling prophecies \| cyclical shares \| Календарні ефекти та аномалії фондового ринку \| ефект Грудня \| дохідність та волатильність індексу ПФТС \| передбаченння \| які самореалізуються \| циклічні акції

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G14 - Information and Market Efficiency; Event Studies ; D84 - Expectations; Speculations ; G11 - Portfolio Choice ; G15 - International Financial Markets ; G00 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009372488