Exploring price gap anomaly in the Ukrainian stock market

Exploring price gap anomaly in the Ukrainian stock market

This paper analyzes price gaps in the Ukrainian stock market for the case of UX index over the period 2009–2018. Using different statistical tests (Student’s t-tests, ANOVA, Mann-Whitney test) and regression analysis with dummy variables, as well as modified cumulative approach and trading simulatio...

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Bibliografische gegevens
Hoofdauteurs: Alex Plastun, Inna Makarenko, Lyudmila Khomutenko, Svitlana Shcherbak, Olha Tryfonova
Formaat: Artikel
Taal:English
Gepubliceerd in: LLC "CPC "Business Perspectives" 2019-06-01
Reeks:Investment Management & Financial Innovations
Onderwerpen:
Efficient Market Hypothesis
market anomaly
momentum effect
price gaps
reversal pattern
seasonality
Online toegang:https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12043/IMFI_2019_02_Plastun.pdf

Internet

https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/12043/IMFI_2019_02_Plastun.pdf

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