Ukrainian financial markets: an examination of calendar anomalies

摘要

Purpose - This study aims to examine the market returns of the Ukrainian stock and bond marketsrnto determine whether they exhibit calendar anomalies including the January effect, weekend effect,rnand turn-of-the-month (TOM) effect. Ukraine provides an opportunity to examine the efficiency of anrnemerging market, adding to the extensive body of research on calendar anomalies.rnDesign/methodology/approach - Regression analysis is used to examine the relationship betweenrnJanuary returns vs non-January returns, Monday returns vs non-Monday returns, and TOM returnsrnvs non-TOM returns. Non-parametric t-tests and Wilcoxon signed rank tests are also used to examinernTOM returns vs the rest of the month returns.rnFindings - There is no evidence of a January effect or a weekend effect in the Ukrainian stock andrnbond markets. However, our results support a TOM effect in the Ukrainian stock market. The meanrndaily TOM return is 0.35 vs 0.24 per cent for the rest of the month. Additionally, in 63 per cent of thernmonths, the mean daily TOM return exceeds the return for the rest of the month.rnResearch limitations/implications - The data are limited to five-years of daily returns and tworndifferent Ukrainian indexes. Thus, the results could be biased by the time period analyzed. Thernresults are important for portfolio managers and investors as they can benefit from the TOM effect,rnbut not the January effect and weekend effect.rnOriginality/value - This is the first study to our knowledge that has extensively examined therncalendar anomalies in the Ukrainian stock and bond markets.