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Transformation of the Ukrainian Stock Market: A Data Properties View

Author

Listed:
  • Alex Plastun

    (Department of International Economic Relations, Sumy State University, 40000 Sumy, Ukraine)

  • Lesia Hariaha

    (Department of Economics and International Economic Relations, Bohdan Khmelnytsky National University of Cherkasy, 18028 Cherkasy, Ukraine)

  • Oleksandr Yatsenko

    (Department of Enterprise Economics, Accounting and Audit, Bohdan Khmelnytsky National University of Cherkasy, 18028 Cherkasy, Ukraine)

  • Olena Hasii

    (Department of Finance and Banking, Poltava University of Economics and Trade, 36007 Poltava, Ukraine)

  • Liudmyla Sliusareva

    (Department of Economics, University of the State Fiscal Service of Ukraine, 08200 Irpin, Ukraine)

Abstract

This paper investigates the evolution of the Ukrainian stock market through an analysis of various data properties, including persistence, volatility, normality, and resistance to anomalies for the case of daily returns from the PFTS stock index spanning 1995–2022. Segmented into sub-periods, it aims to test the hypothesis that the market’s efficiency has increased over time. To do this different statistical techniques and methods are used, including R/S analysis, ANOVA analysis, regression analysis with dummy variables, t -tests, and others. The findings present a mixed picture: while volatility and persistence demonstrate a general decreasing trend, indicating a potential shift towards a more efficient market, normality tests reveal no discernible differences between analyzed periods. Similarly, the analysis of anomalies shows no specific trends in the market’s resilience to the day-of-the-week effect. Overall, the results suggest a lack of systematic changes in data properties in the Ukrainian stock market over time, possibly due to the country’s volatile conditions, including two revolutions, economic crises, the annexation of territories, and a Russian invasion leading to the largest war in Europe since WWII. The limited impact of reforms and changes justifies the need for continued market reform and evolution post-war.

Suggested Citation

  • Alex Plastun & Lesia Hariaha & Oleksandr Yatsenko & Olena Hasii & Liudmyla Sliusareva, 2024. "Transformation of the Ukrainian Stock Market: A Data Properties View," JRFM, MDPI, vol. 17(5), pages 1-16, April.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:177-:d:1381488
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    References listed on IDEAS

    as
    1. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    2. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
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