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Календарні ефекти та аномалії на українському фондовому ринку: теорія і практика

The Calendar Effects and Anomalies on Ukrainian Stock Market: Theory and Empirical Evidence

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 evidence of daily, monthly and quarterly returns of PFTS-index and their volatility 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 and calendar character of exchange rate fluctuations.

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
New Economics Papers: this item is included in nep-tra
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Published in Світ фінансів 2 (2011): pp. 30-40

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