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

By Bohdan Petrushchak

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.

Topics: G14 - Information and Market Efficiency; Event Studies, D84 - Expectations; Speculations, G11 - Portfolio Choice; Investment Decisions, G15 - International Financial Markets, G00 - General
Year: 2011
OAI identifier: oai:mpra.ub.uni-muenchen.de:31115

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