Календарні Ефекти Та Аномалії На Українському Фондовому Ринку: Теорія І Практика
[The Calendar Effects and Anomalies on Ukrainian Stock Market: Theory and Empirical Evidence]
AbstractThe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34948.
Date of creation: 2011
Date of revision:
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;
Find related papers by JEL classification:
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- G00 - Financial Economics - - General - - - General
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