The calendar regularity of earnings and volatility distribution on the Ukrainian stock market

Bohdan Petrushchak

MPRA Paper from University Library of Munich, Germany

Abstract: The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidences of monthly returns and volatility of PFTS-index are examined. A strong evidence of a calendar effect i.e. December effect on Ukrainian PFTS exchange was found. It can be explained due to the cyclical character of some industries, cyclical shares, calendar character of exchange rate fluctuations and self-fulfilling prophecies of investors.

Keywords: Calendar effects; December effect; stock market anomalies; volatility and rate of return of PFTS-Index; self-fulfilling prophecies; cyclical shares; Календарні ефекти та аномалії фондового ринку; ефект Грудня; дохідність та волатильність індексу ПФТС; передбаченння, які самореалізуються; циклічні акції (search for similar items in EconPapers)
JEL-codes: D84 G00 G11 G14 G15 (search for similar items in EconPapers)
Date: 2011, Revised 2011
New Economics Papers: this item is included in nep-tra
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Published in Proceedings of the 9th International Scientific Conference of Students and Young Scientists “Shevchenkivska Vesna 2011”. – 2011. – Kyiv: Taras Shevchenko National University of Kyiv. – Pages: 280–282. 9.1(2011): pp. 280-282

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