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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.
Appears in Collections: Наукові видання (ННІ БіЕМ)

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Belgium Belgium
11554672
France France
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Indonesia Indonesia
801192
Ireland Ireland
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Italy Italy
1274501031
Lithuania Lithuania
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Macao SAR China Macao SAR China
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