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

Guglielmo Maria CaporaleLuis A. Gil-AlañaAlex Plastun

出版	Brunel Univ. West London, Brunel Business School, 2015
URL	http://books.google.com.hk/books?id=Ljn1vQEACAAJ&hl=&source=gbs_api

註釋

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.