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

Petrushchak, Bohdan (2011): The calendar regularity of earnings and volatility distribution on the Ukrainian stock market. Published in: Proceedings of the 9th International Scientific Conference of Students and Young Scientists “Shevchenkivska Vesna 2011”. – 2011. – Kyiv: Taras Shevchenko National University of Kyiv. – Pages: 280–282. , Vol. 1, No. 9 (April 2011): pp. 280-282.

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.

• Item Type: MPRA Paper
• Language: English
• 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
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D84 - Expectations ; Speculations; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G0 - General > G00 - General

References

Hubbard R.G. Money, the Financial System, and the Economy. – Addison-Wesley Publishing Company, 4th ed. – 2002. – P.640.

Bestmann U. Finanzlexikon. – München: Vahlen, 1989. – 2., völlig neubearb. und erw. Aufl. – S.315.

Merk G. Begriffserläuterungen aus der Finanzwelt. – S.945. // www.uni-siegen.de.

Steiner M., Bruns Ch. Wertpapiermanagement. – 4., überarbeitete und ergänzte Aufl. – Stuttgart: Schäfer-Poeschel, 1995. – S.510.