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Title | Daily abnormal returns and price effects in the “passion investments” market |
Authors |
Plastun, Oleksii Leonidovych
![]() Havrylina, Ahniia Volodymyrivna Sliusareva L., Strochenko N., Zhmaylova O., |
ORCID |
http://orcid.org/0000-0001-8208-7135 |
Keywords |
аномалія аномалия anomaly актив asset ціна цена price |
Type | Article |
Date of Issue | 2021 |
URI | https://essuir.sumdu.edu.ua/handle/123456789/86389 |
Publisher | Business Perspectives |
License | Creative Commons Attribution 4.0 International License |
Citation | Plastun, Alex, Ahniia Havrylina, Liudmyla Sliusareva, Nataliya Strochenko and Olga Zhmaylova (2021). Daily abnormal returns and price effects in the “passion investments” market. Investment Management and Financial Innovations, 18(4), 141-149. doi:10.21511/imfi.18(4).2021.13 |
Abstract |
This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher than returns on “normal” days. On the days after positive abnormal returns, the momentum effect is detected. Contrarian effect is typical for the days after negative abnormal returns. A trading strategy based on detected price effects showed the presence of exploitable profit opportunities. Results of this paper provide additional pieces of evidence in favor of inconsistencies between the efficient market hypothesis and practice and can be used by traders to generate extra profits in the “passion investments” market. |
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