UDC 336.76.066
Lipych, M. A. (2015). Anomaliyi tsinoutvorennya na fondovomu rynku Ukrayiny [The Ukrainian stock market anomalies]. Rehional'na ekonomika - Regional Economy, 75(1), 184-192. [in Ukrainian].
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Authors

Resume

This article presents analysis of the stock market anomalies. It is considered the stock market anomalies as the market situation, when there are active investment strategies that brings extra profitability and cannot be explained by any asset pricing models. The author singles out two groups of the stock market anomalies: the fundamental anomalies and the technical anomalies, depending on the investment strategy, that brings extra profitability. The first group includes such effects as the momentum effect, the event-drift effect, the calendar effect. The second group includes such effects as the winner-loser effect, the size effect, the value effect. This article describes each of the groups of anomalies and their peculiarities are emphasized. This paper also analyzes the ways in which anomalies affect prices in the Ukrainian stock market. It is considered the methodologies of the anomalies survey. The “event study” of the market index PFTS has been used to identify the calendar effects. The revenue of the stock portfolios that depends on their P/E ratio has been estimated in order to identify the value effect. The author has evaluated the revenue of the stock portfolios according to their market capitalization to detect the size effect. The author has classified the stock portfolios rely on their short-term revenue to find the momentum effect and long-term revenue to find the winner-loser effect. It has been analyzed the abnormal returns before and after the earnings announcement to discover the event-drift effect. It is confirmed the impact on the Ukrainian stock market such anomalies as the calendar effect, the value effect and the momentum effect. It is revealed the size effect only in the short-term period. It is refuted the influence of the event-drift effect and the winner-loser effect in the Ukrainian stock market. It is drawn a conclusion that the anomalies have an impact on the asset pricing in the stock market. There is a need for the further research to identify the factors that caused the pricing anomalies in the Ukrainian stock market.

Keywords:

the stock market anomalies, the momentum effect, the event-drift effect, calendar effect, winner-loser effect, size effect, value effect