Daily abnormal returns and price effects in the “passion investments” market


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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.

The authors gratefully acknowledge financial support from the Ministry of Education and Science of Ukraine (0121U100473).

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    • Figure 1. Visual (average) analysis of returns on ordinary days and days with abnormal returns (the case of stamps and diamonds)
    • Figure 2. Visual interpretation of trading simulation results (the case of stamps and diamonds)
    • Table 1. Results of a trading strategy based on detected price patterns
    • Table 2. Summary of results for the stamps and diamonds: The case of negative and positive returns
    • Table A1. Average analysis of returns on usual days and days after abnormal returns: The case of stamps and diamonds
    • Table A2. T-test
    • Table A3. ANOVA test
    • Table A4. Mann–Whitney U test
    • Table A5. Regression analysis with dummy variables*
    • Table A6. Modified CAR approach*
    • Investigation
      Alex Plastun
    • Methodology
      Alex Plastun
    • Project administration
      Alex Plastun
    • Writing – original draft
      Alex Plastun, Ahniia Havrylina, Liudmyla Sliusareva, Nataliya Strochenko, Olga Zhmaylova
    • Resources
      Ahniia Havrylina
    • Writing – review & editing
      Ahniia Havrylina, Olga Zhmaylova
    • Conceptualization
      Liudmyla Sliusareva
    • Data curation
      Liudmyla Sliusareva
    • Formal Analysis
      Liudmyla Sliusareva, Nataliya Strochenko, Olga Zhmaylova
    • Validation
      Nataliya Strochenko, Olga Zhmaylova
    • Visualization
      Nataliya Strochenko