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The calendar regularity of earnings and volatility distribution on the Ukrainian stock market

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  • Petrushchak, Bohdan

Abstract

The theoretical aspects of calendar effects and anomalies on the Ukrainian stock market and the empirical evidences of monthly returns and volatility of PFTS-index 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, calendar character of exchange rate fluctuations and self-fulfilling prophecies of investors.

Suggested Citation

  • Petrushchak, Bohdan, 2011. "The calendar regularity of earnings and volatility distribution on the Ukrainian stock market," MPRA Paper 31115, University Library of Munich, Germany, revised 2011.
  • Handle: RePEc:pra:mprapa:31115
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    File URL: https://mpra.ub.uni-muenchen.de/31115/4/MPRA_paper_31115.pdf
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    Keywords

    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;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G00 - Financial Economics - - General - - - General

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