The weekend effect: an exploitable anomaly in the Ukrainian stock market?

Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun

Journal of Economic Studies, 2016, vol. 43, issue 6, 954-965

Abstract: Purpose - The purpose of this paper is to provide 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. Design/methodology/approach - The analysis uses various statistical techniques (average analysis, Student’st-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. Findings - 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 per cent. The implication is that the Ukrainian stock market is inefficient. Originality/value - 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’st-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 per cent. The implication is that the Ukrainian stock market is inefficient.

Keywords: Ukraine; Trading strategy; Weekend effect; Efficient market hypothesis; G12; C63 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Working Paper: The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-09-2015-0167

DOI: 10.1108/JES-09-2015-0167

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