Daily abnormal returns and price effects in the “passion investments” market
This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price...
Guardado en:
| Autores principales: | , , , , |
|---|---|
| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
LLC "CPC "Business Perspectives"
2021
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/d3ee4431d83a4bb78cc33319b70fa45d |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| id |
oai:doaj.org-article:d3ee4431d83a4bb78cc33319b70fa45d |
|---|---|
| record_format |
dspace |
| spelling |
oai:doaj.org-article:d3ee4431d83a4bb78cc33319b70fa45d2021-11-04T07:21:13ZDaily abnormal returns and price effects in the “passion investments” market10.21511/imfi.18(4).2021.131810-49671812-9358https://doaj.org/article/d3ee4431d83a4bb78cc33319b70fa45d2021-11-01T00:00:00Zhttps://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15778/IMFI_2021_04_Plastun.pdfhttps://doaj.org/toc/1810-4967https://doaj.org/toc/1812-9358This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher than returns on “normal” days. On the days after positive abnormal returns, the momentum effect is detected. Contrarian effect is typical for the days after negative abnormal returns. A trading strategy based on detected price effects showed the presence of exploitable profit opportunities. Results of this paper provide additional pieces of evidence in favor of inconsistencies between the efficient market hypothesis and practice and can be used by traders to generate extra profits in the “passion investments” market. Acknowledgment The authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0121U100473).Alex PlastunAhniia HavrylinaLiudmyla SliusarevaNataliya StrochenkoOlga ZhmaylovaLLC "CPC "Business Perspectives"articleabnormal returnsalternative assetscontrarian strategymomentum effectpassion investmentsFinanceHG1-9999ENInvestment Management & Financial Innovations , Vol 18, Iss 4, Pp 141-149 (2021) |
| institution |
DOAJ |
| collection |
DOAJ |
| language |
EN |
| topic |
abnormal returns alternative assets contrarian strategy momentum effect passion investments Finance HG1-9999 |
| spellingShingle |
abnormal returns alternative assets contrarian strategy momentum effect passion investments Finance HG1-9999 Alex Plastun Ahniia Havrylina Liudmyla Sliusareva Nataliya Strochenko Olga Zhmaylova Daily abnormal returns and price effects in the “passion investments” market |
| description |
This paper explores price effects in the “passion investments” market after days with abnormal returns. To do this, daily prices for stamps and diamonds over the periods 1999–2021 and 1989–2021 are analyzed. The following hypothesis is tested: One-day abnormal returns create stable patterns in price behavior on the next day. Statistic tests (t-test, ANOVA, Mann–Whitney U test, modified cumulative abnormal returns approach, regression analysis with dummy variables) confirm the presence of price patterns related to extreme returns: price fluctuations on the day after extreme returns are higher than returns on “normal” days. On the days after positive abnormal returns, the momentum effect is detected. Contrarian effect is typical for the days after negative abnormal returns. A trading strategy based on detected price effects showed the presence of exploitable profit opportunities. Results of this paper provide additional pieces of evidence in favor of inconsistencies between the efficient market hypothesis and practice and can be used by traders to generate extra profits in the “passion investments” market.
Acknowledgment The authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0121U100473). |
| format |
article |
| author |
Alex Plastun Ahniia Havrylina Liudmyla Sliusareva Nataliya Strochenko Olga Zhmaylova |
| author_facet |
Alex Plastun Ahniia Havrylina Liudmyla Sliusareva Nataliya Strochenko Olga Zhmaylova |
| author_sort |
Alex Plastun |
| title |
Daily abnormal returns and price effects in the “passion investments” market |
| title_short |
Daily abnormal returns and price effects in the “passion investments” market |
| title_full |
Daily abnormal returns and price effects in the “passion investments” market |
| title_fullStr |
Daily abnormal returns and price effects in the “passion investments” market |
| title_full_unstemmed |
Daily abnormal returns and price effects in the “passion investments” market |
| title_sort |
daily abnormal returns and price effects in the “passion investments” market |
| publisher |
LLC "CPC "Business Perspectives" |
| publishDate |
2021 |
| url |
https://doaj.org/article/d3ee4431d83a4bb78cc33319b70fa45d |
| work_keys_str_mv |
AT alexplastun dailyabnormalreturnsandpriceeffectsinthepassioninvestmentsmarket AT ahniiahavrylina dailyabnormalreturnsandpriceeffectsinthepassioninvestmentsmarket AT liudmylasliusareva dailyabnormalreturnsandpriceeffectsinthepassioninvestmentsmarket AT nataliyastrochenko dailyabnormalreturnsandpriceeffectsinthepassioninvestmentsmarket AT olgazhmaylova dailyabnormalreturnsandpriceeffectsinthepassioninvestmentsmarket |
| _version_ |
1718445050928562176 |