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The weekend effect: an exploitable anomaly in the Ukrainian stock market?

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana
  • Alex Plastun

Abstract

Purpose - The purpose of this paper is to provide 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. Design/methodology/approach - The analysis uses various statistical techniques (average analysis, Student’st-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. Findings - 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 per cent. The implication is that the Ukrainian stock market is inefficient. Originality/value - 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’st-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 per cent. The implication is that the Ukrainian stock market is inefficient.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016. "The weekend effect: an exploitable anomaly in the Ukrainian stock market?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(6), pages 954-965, November.
    • Handle: RePEc:eme:jespps:jes-09-2015-0167
    DOI: 10.1108/JES-09-2015-0167
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    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," Discussion Papers of DIW Berlin 1573, DIW Berlin, German Institute for Economic Research.
    2. Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
    3. Caporale, Guglielmo Maria & Plastun, Alex, 2019. "The day of the week effect in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 31(C).
    4. Kostyantyn MALYSHENKO & Vadim MALYSHENKO & Elena Yu. PONOMAREVA & Marina ANASHKINA, 2019. "Analysis of the stock market anomalies in the context of changing the information paradigm," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 239-270, June.
    5. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).
    6. Marnus Janse van Rensburg & Terence Van Zyl, 2025. "Price Gaps and Volatility: Do Weekend Gaps Tend to Close?," JRFM, MDPI, vol. 18(3), pages 1-24, March.

    More about this item

    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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