The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?

Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun

No 1458, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: 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's t-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%. The implication is that the Ukrainian stock market is inefficient.

Keywords: Efficient market hypothesis; weekend effect; trading strategy (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Pages: 15 p.
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: The weekend effect: an exploitable anomaly in the Ukrainian stock market? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1458

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