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Title | Momentum and contrarian effects in the Ukrainian stock market: case of daily overreactions |
Authors |
Plastun, Oleksii Leonidovych
Strochenko, N. Zhmaylova, O. Sliusareva, L. Bashlay, S. |
ORCID |
http://orcid.org/0000-0001-8208-7135 |
Keywords |
Ukrainian stock market contrarian effect momentum effect overreactions abnormal returns patterns Український фондовий ринок протилежний ефект імпульс ефект надмірна реакція ненормальна віддача моделі Украинский фондовый рынок эффект противоположности импульс эффект чрезмерная реакция аномальные результаты закономерности |
Type | Article |
Date of Issue | 2020 |
URI | https://essuir.sumdu.edu.ua/handle/123456789/82076 |
Publisher | Businness Perspectives |
License | Creative Commons Attribution 4.0 International License |
Citation | Alex Plastun, Nataliya Strochenko, Olga Zhmaylova, Liudmyla Sliusareva and Sergiy Bashlay (2020). Momentum and contrarian effects in the Ukrainian stock market: case of daily overreactions. Investment Management and Financial Innovations, 17(1), 24-34. doi:10.21511/imfi.17(1).2020.03 |
Abstract |
This paper examines momentum and contrarian effects in the Ukrainian stock market
after one-day abnormal returns. To do this, UX futures data over the period 2010–2018
are used. The following hypotheses are tested: H1) hourly returns on overreaction days
differ from hourly returns on normal days, H2) there are price patterns on overreaction days, and H3) to test these hypotheses, visual inspection and average analysis
are used, as well as t-tests, cumulative abnormal returns, and trading simulation approaches. The results suggest that there are statistically significant differences between
intraday dynamics during the usual days and the overreactions day. There is a strong
momentum effect present on the day of overreaction: prices tend to change only in
the direction of the overreaction during the whole day. The fact of the overreaction
becomes clear after 13:00-14:00. This gives a lot of time to explore the momentum
effect in the day of overreaction. On the day after the overreaction, prices tend to go
in the opposite direction: contrarian pattern is detected, which is in line with the overreaction hypothesis. Based on detected price patterns, rules of trading and trading
strategies for the Ukrainian stock market are developed. Momentum Strategy (based
on price patterns on the day of overreaction) generates several successful trades; close
to with 90%, and their number being is profitable (trading results differ from the random ones – confirmed by t-tests). Contrarian Strategy (based on price patterns on the
day after the overreaction) demonstrates low efficiency, and results do not differ from
random trading. |
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File | Size | Format | Downloads |
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IMFI_2020_01_Plastun.pdf | 467.23 kB | Adobe PDF | 380071 |
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