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Is there any witching in the cryptocurrency market?

Plastun, Alex; Khomutenko, Ludmila; Bashlai, Serhii - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14

This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann-Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, and...

Persistent link: https://www.econbiz.de/10012888243

Momentum and contrarian effects in the Ukrainian stock market : case of daily overreactions

Plastun, Alex; Strochenko, Nataliya; Zhmaylova, Olga; … - In: Investment management and financial innovations 17 (2020) 1, pp. 24-34

Persistent link: https://www.econbiz.de/10012299781

Exploring frequency of price overreactions in the Ukrainian stock market

Plastun, Alex; Makarenko, Inna; Khomutenko, Lyudmila; … - In: Investment management and financial innovations 15 (2018) 3, pp. 157-168

Persistent link: https://www.econbiz.de/10012055528

Force majeure events and stock market reactions in Ukraine

Caporale, Guglielmo Maria; Plastun, Alex; Makarenko, Inna - In: Investment management and financial innovations 16 (2019) 1, pp. 334-345

Persistent link: https://www.econbiz.de/10012056177

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Calender anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - In: Investment management and financial innovations 14 (2017) 1, pp. 104-114

Persistent link: https://www.econbiz.de/10011816244

Exploring price gap anomaly in the Ukrainian stock market

Plastun, Alex; Makarenko, Inna; Khomutenko, Lyudmila; … - In: Investment management and financial innovations 16 (2019) 2, pp. 150-158

Persistent link: https://www.econbiz.de/10012122156