Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107690
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis
Plastun, Alex
Year of Publication: 
2015
Series/Report no.: 
DIW Discussion Papers 1458
Abstract: 
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.
Subjects: 
Efficient Market Hypothesis
Weekend Effect
Trading Strategy
JEL: 
G12
C63
Document Type: 
Working Paper

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