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Title | Exploring frequency of price overreactions in the Ukrainian stock market |
Authors |
Plastun, Oleksii Leonidovych
Makarenko, Inna Oleksandrivna Khomutenko, Liudmyla Ivanivna Domashenko, Maryna Dmytrivna Belinska, Ya. |
ORCID |
http://orcid.org/0000-0001-8208-7135 http://orcid.org/0000-0001-7326-5374 http://orcid.org/0000-0002-9443-4330 http://orcid.org/0000-0002-6987-8992 |
Keywords |
фондовий ринок фондовый рынок stock market надреакції надреакции overreactions частотний аналіз частотный анализ frequency analysis frequency of overreactions |
Type | Article |
Date of Issue | 2018 |
URI | http://essuir.sumdu.edu.ua/handle/123456789/71601 |
Publisher | LLC “Consulting Publishing Company “Business Perspectives” |
License | |
Citation | Plastun, А. Exploring frequency of price overreactions in the Ukrainian stock market [Text] / A. Plastun, I. Makarenko, L. Khomutenko [et al.] // Investment Management and Financial Innovations. - 2018. - Vol. 15, Issue 3. - P. 157-168. – doi:10.21511/imfi.15(3).2018.13 |
Abstract |
This paper explores the frequency of price overreactions in the Ukrainian stock market by focusing on the PFTS Index over the period 2006–2017 and UX index over the period 2008–2017, as well as some “blue chips” (BAVL, UNAF, MSICH, CEEN) for the period of 2013–2015. Using static approach to detect overreactions, a number of hypotheses are tested: the frequency of price overreactions is informative about crisis events in the economy (H1), can be used for price prediction purposes (H2), and exhibits seasonality (H3). To do this, various statistical tests (both parametric and non-parametric), including correlation analysis, augmented Dickey-Fuller tests (ADF), Granger causality tests, and regression analysis with dummy variables, are carried out. Hypotheses H1 and H2 are confirmed: frequency of price overreactions can be used as a crisis predictor (a sharp increase in the number of overreactions is associated with a crisis period) and could be used to predict stock returns. No seasonality in the overreactions frequency is found. Implications of this research include crisis prediction and stock market prices forecasting and can be used for designing trading strategies. |
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Germany
296232246
Lithuania
1
Singapore
1
Ukraine
17991822
United Kingdom
1
United States
296232248
Unknown Country
1953226837
Vietnam
1
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File | Size | Format | Downloads |
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Plastun_ Makarenko_ Khomutenko.pdf | 420.93 kB | Adobe PDF | -1731284139 |
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