The Overreaction Hypothesis: The Case of Ukrainian Stock Market

H. R. Mynhardt and Alex Plastun

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.

Keywords: efficient market hypothesis; overreaction hypothesis; abnormal returns; contrarian strategy; stock market (search for similar items in EconPapers)
JEL-codes: G14 G15 G17 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Published in Corporate Ownership and Control Volume 1.11(2013): pp. 406-422

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:58941

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