The Overreaction Hypothesis: The Case of Ukrainian Stock Market

Mynhardt, R.H., Plastun, A. "The overreaction hypothesis: The case of Ukrainian stock market" Corporate Ownership and Control Volume 11, Issue 1 E, 2013, Pages 406-422

17 Pages Posted: 27 Sep 2014 Last revised: 20 Dec 2014

See all articles by Oleksiy Plastun

Oleksiy Plastun

Sumy State University

Ronald Mynhardt

University of South Africa

Date Written: September 24, 2013

Abstract

This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.

Keywords: efficient market hypothesis, overreaction hypothesis, abnormal returns, contrarian strategy, stock market

JEL Classification: G14

Suggested Citation

Plastun, Oleksiy and Mynhardt, Ronald, The Overreaction Hypothesis: The Case of Ukrainian Stock Market (September 24, 2013). Mynhardt, R.H., Plastun, A. "The overreaction hypothesis: The case of Ukrainian stock market" Corporate Ownership and Control Volume 11, Issue 1 E, 2013, Pages 406-422, Available at SSRN: https://ssrn.com/abstract=2500961

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

Ronald Mynhardt

University of South Africa ( email )

P.O. Box 392
UNISA
Pretoria, Gauteng 0003
South Africa

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