The Overreaction Hypothesis: the case of Ukrainian stock market

Plastun, Oleksii Leonidovych; Mynhardt, R.H.

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Title	The Overreaction Hypothesis: the case of Ukrainian stock market
Other Titles	Гіпотеза надреакцій на українському ринку акцій
Authors	Plastun, Oleksii Leonidovych Mynhardt, R.H.
ORCID	http://orcid.org/0000-0001-8208-7135
Keywords	efficient market hypothesis overreaction hypothesis stock market гіпотеза ефективного ринку гіпотеза надреакцій ринок акцій
Type	Article
Date of Issue	2013
URI	http://essuir.sumdu.edu.ua/handle/123456789/50809
Publisher	Ділові перспективи
License	Copyright not evaluated
Citation	Mynhardt, R. H. The Overreaction Hypothesis : the case of Ukrainian stock market / Ronald Henry Mynhardt, Alexey Plastun // Corporate Ownership and Control. - 2013. - № 11. – Р. 406-423/
Abstract	Робота присвячена тестуванню гіпотези надреакцій на українському ринку цінних паперів. This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.
Appears in Collections:	Наукові видання (ННІ БТ)