In this paper we study the number of special directions of sets of cardinality divisible by $p$ on a finite plane of characteristic $p$, where $p$ is a prime. We show that there is no such a set with exactly two special directions. We characterise sets with exactly 3 special directions which answers a question of Ghidelli in negative. Further we introduce methods to construct sets of minimal cardinality that has exactly 4 special directions for small values of $p$.