Видання зареєстровані авторами шляхом самоархівування
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Item January effect: 200 years of evolution in the us stock market(LLC “СPС “Business Perspectives”, 2018) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Пластун, В.This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading simulation approach to analyze the evolution of this anomaly. The results suggest that January effect during the XVIII–XXI century passed the way from rise to fall. The rise of the January Effect starts in the end of the XIX century and this anomaly mostly disappeared in middle of the XX century. Nowadays the January Effect is not present in the US stock market, but even today January stays one of the best months for purchases in the US stock market.Item Calendar anomalies in the Ukrainian stock market(LLC “Consulting Publishing Company “Business Perspectives”, 2017) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Caporale, G.M.This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: Day of the Week Effect; Turn of the Month Effect; Turn of the Year Effect; Month of the Year Effect; January Effect; Holiday Effect; Halloween Effect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but there are a few exceptions, i.e. the Turn of the Year and Halloween Effect for the PFTS index, and the Month of the Year Effect for UX futures. However, the trading simulation analysis shows that only trading strategies based on the Turn of the Year Effect for the PFTS index and the Month of the Year Effect for the UX futures can generate exploitable profit opportunities that can be interpreted as evidence against market efficiency.Item The weekend effect: an exploitable anomaly in the Ukrainian stock market?(DIW Berlin ; Німецький інститут економічних досліджень, 2015) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Caporale, G.M.; Gil-Alana, L.This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits. The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25%. The implication is that the Ukrainian stock market is inefficient.Item Long-term price overreactions: are markets inefficient?(2015) Caporale, G.M.; Gil-Alana, L.; Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii LeonidovychThis paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.Item Short-Term Price Overreactions: Identification, Testing, Exploitation(Brunel University, London, 2014) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Caporale, G.M.; Gil-Alana, L.This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an overreaction day prices tend to move in the same direction for some time. A trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the FOREX and the commodity markets, but it is profitable in the case of the US stock market. By contrast, a strategy exploiting the “inertia anomaly” produces profits in the case of the FOREX and the commodity markets, but not in the case of the US stock market.Item The Weekend Effect: A Trading Robot and Fractional Integration Analysis(2014) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Aleksei Leonydovych; Maria Caporale, Guglielmo; Макаренко, Інна Олександрівна; Макаренко, Инна Александровна; Makarenko, Inna Oleksandrivna; Gil-Alana, LuisThis paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration technique for the estimation of the (fractional) integration parameter d. The results suggest that the week-end effect as a statistical phenomenon can be detected. The lowest orders of integration are generally found on Mondays, which can be seen as an evidence for a weekend effect. But from the practical point of view this anomaly is useless – it is impossible to get stable positive financial results from trading on the week-end effect. So in general our results are consistent with the EMH and the week-end effect shouldn’t be used as an example of inconsistency of EMH with the real life.Item The Overreaction Hypothesis: the case of Ukrainian stock market(Ділові перспективи, 2013) Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Mynhardt, R.H.Робота присвячена тестуванню гіпотези надреакцій на українському ринку цінних паперів.