Видання зареєстровані авторами шляхом самоархівування
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Item SDGs and ESG disclosure regulation: is there an impact? Evidence from Top-50 world economies(Businness Perspectives, 2020) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Макаренко, Інна Олександрівна; Макаренко, Инна Александровна; Makarenko, Inna Oleksandrivna; Хомутенко, Людмила Іванівна; Хомутенко, Людмила Ивановна; Khomutenko, Liudmyla Ivanivna; Osetrova, O.; Shcherbakov, P.This paper explores the influence of the ESG disclosure regulation (government corporate ESG disclosure and non-government corporate ESG disclosure) on the ranking in 50 largest economies. Applying various statistical methods and techniques, including both parametrical (Student’s t-test, ANOVA analysis) and non-parametrical (MannWhitney U test) tests, simple average analysis, OLS with dummy variables method and multiple linear regression analysis, as well as correlation analysis and Granger causality test, several hypotheses are tested. The hypotheses stipulate whether or not ESG disclosure regulation differs in developed and emerging countries and whether or not ESG disclosure regulation influences the country’s SDGI ranking, as well as the ranking of the country among 50 largest economies. According to the results, the differences in ESG disclosure regulation are statistically significant in developed and emerging countries. The level of ESG disclosure compliance is higher in developed countries. ESG disclosure regulation influences the position of the country in SDGI and 50 largest economies rankings. The more country complies with ESG disclosure criteria, the better position in rankings is. Incorporation of ESG criteria is an important evolutionary step in economic development of the country. It allows increasing position of the country in 50 largest economies and SDGI ranking. Thus, ESG disclosure regulation is vital for the development of the country in the modern world.Item Exploring price gap anomaly in the Ukrainian stock market(Business Perspectives, 2019) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Макаренко, Інна Олександрівна; Макаренко, Инна Александровна; Makarenko, Inna Oleksandrivna; Хомутенко, Людмила Іванівна; Хомутенко, Людмила Ивановна; Khomutenko, Liudmyla Ivanivna; Shcherbak, S.; Tryfonova, O.This paper analyzes price gaps in the Ukrainian stock market for the case of UX index over the period 2009–2018. Using different statistical tests (Student’s t-tests, ANOVA, Mann-Whitney test) and regression analysis with dummy variables, as well as modified cumulative approach and trading simulation, the authors test a number of hypotheses searching for price patterns and abnormal market behavior related to price gaps: there is seasonality in price gaps (H1); price gaps generate statistical anomalies in the Ukrainian stock market (H2); upward gaps generate price patterns in the Ukrainian stock market (H3) and downward gaps generate price patterns in the Ukrainian stock market (H4). Overall results are consistent with the Efficient Market Hypothesis: there is no seasonality in price gaps and in most cases there is no evidences of price patterns or abnormal price behavior after the gaps in the Ukrainian stock market. Nevertheless, the authors find very strong and convincing evidences in favor of momentum effect on the days of negative gaps. These observations are confirmed by trading simulations: trading strategy based on detected price pattern generates profits and demonstrates overall efficiency, which is against the market efficiency. These results can be interesting both for academicians (further evidences against market efficiency) and practitioners (real and effective trading strategy to generate profits in the Ukrainian market market).Item Exploring frequency of price overreactions in the Ukrainian stock market(LLC “Consulting Publishing Company “Business Perspectives”, 2018) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Макаренко, Інна Олександрівна; Макаренко, Инна Александровна; Makarenko, Inna Oleksandrivna; Хомутенко, Людмила Іванівна; Хомутенко, Людмила Ивановна; Khomutenko, Liudmyla Ivanivna; Домашенко, Марина Дмитрівна; Домашенко, Марина Дмитриевна; Domashenko, Maryna Dmytrivna; Belinska, Ya.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.