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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.
Keywords фондовий ринок
фондовый рынок
stock market
частотний аналіз
частотный анализ
frequency analysis
frequency of overreactions
Type Article
Date of Issue 2018
Publisher LLC “Consulting Publishing Company “Business Perspectives”
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.
Appears in Collections: Наукові видання (ННІ БТ)


Ukraine Ukraine
Unknown Country Unknown Country


Ukraine Ukraine
Unknown Country Unknown Country


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