Analysis of the stock market anomalies in the context of changing the information paradigm

Kostyantyn Malyshenko (), Vadim Malyshenko, Elena Yu. Ponomareva and Marina Anashkina
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Kostyantyn Malyshenko: National Research Institute for Vine and Wine Magarach
Vadim Malyshenko: National Research Institute for Vine and Wine Magarach
Elena Yu. Ponomareva: Vernadsky Crimean Federal University
Marina Anashkina: V. I. Vernadsky Crimean Federal University

Eastern Journal of European Studies, 2019, vol. 10(1), 239-270

Abstract: The present paper describes the results of a comprehensive research in the information efficiency of the Ukrainian stock market in the context of a financial paradigm transformation which causes a need to modify the EMH (efficient market hypothesis). The aim of the research is to identify the market inefficiencies (anomalies) that occur in the market and contradict the EMH provisions. The database used for the research is from both the world and the Ukrainian stock markets (from 2008 to 2013). Besides, the authors compiled their own event database on Ukrainian mass media data with clear formalization of the event evaluation, which excludes any judgmental approach. Both the standard statistical procedures and the authors’ event analysis become the instruments for the analysis. To randomize the research, an event date was shifted by 1-5 days with the reference to the emissions by the moving average method. The research becomes the basis for a new information paradigm, and the fourth form of information efficiency was justified. These changes underlaid the evaluation methodology for the arisen anomalies being the result of explicit or implicit collusion at the stock market of Ukraine.

Keywords: anomalies of the stock market; information efficiency; event analysis; efficient market hypothesis (EMH); fractal market hypothesis (FMH); coherent market hypothesis (CMH) (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:jes:journl:y:2019:v:10:p:239-270

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