Transformation of the Ukrainian Stock Market: A Data Properties View

Alex Plastun, Lesia Hariaha, Oleksandr Yatsenko, Olena Hasii and Liudmyla Sliusareva
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Lesia Hariaha: Department of Economics and International Economic Relations, Bohdan Khmelnytsky National University of Cherkasy, 18028 Cherkasy, Ukraine
Oleksandr Yatsenko: Department of Enterprise Economics, Accounting and Audit, Bohdan Khmelnytsky National University of Cherkasy, 18028 Cherkasy, Ukraine
Olena Hasii: Department of Finance and Banking, Poltava University of Economics and Trade, 36007 Poltava, Ukraine
Liudmyla Sliusareva: Department of Economics, University of the State Fiscal Service of Ukraine, 08200 Irpin, Ukraine

JRFM, 2024, vol. 17, issue 5, 1-16

Abstract: This paper investigates the evolution of the Ukrainian stock market through an analysis of various data properties, including persistence, volatility, normality, and resistance to anomalies for the case of daily returns from the PFTS stock index spanning 1995–2022. Segmented into sub-periods, it aims to test the hypothesis that the market’s efficiency has increased over time. To do this different statistical techniques and methods are used, including R/S analysis, ANOVA analysis, regression analysis with dummy variables, t -tests, and others. The findings present a mixed picture: while volatility and persistence demonstrate a general decreasing trend, indicating a potential shift towards a more efficient market, normality tests reveal no discernible differences between analyzed periods. Similarly, the analysis of anomalies shows no specific trends in the market’s resilience to the day-of-the-week effect. Overall, the results suggest a lack of systematic changes in data properties in the Ukrainian stock market over time, possibly due to the country’s volatile conditions, including two revolutions, economic crises, the annexation of territories, and a Russian invasion leading to the largest war in Europe since WWII. The limited impact of reforms and changes justifies the need for continued market reform and evolution post-war.

Keywords: stock market; persistence; anomalies; adaptive market hypothesis; R/S analysis; efficient market hypothesis (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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