RETURN'S SEASONALITIES IN THE LATIBEX MARKET

This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously considerate al...

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Autor principal:	GARCIA BLANDON,JOSE
Lenguaje:	English
Publicado:	ILADES. Universidad Alberto Hurtado. 2010
Materias:	Calendar anomalies LATIBEX market
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702010000100001
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spelling	oai:scielo:S0718-887020100001000012011-04-29RETURN'S SEASONALITIES IN THE LATIBEX MARKETGARCIA BLANDON,JOSE Calendar anomalies LATIBEX market This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously considerate all the mentioned anomalies through a single model. Although most of the empirical evidence reports calendar anomalies as accepted stylised facts of financial markets, a growing number of recent investigations find these anomalies weakening in most markets. Our results support this set of papers, since we do not report calendar anomalies in the LATlBEX indices. In addition, given the peculiarities of the LATIBEX market, our results also stress the importance of particular features of individual stock markets in the existence of calendar anomalies.info:eu-repo/semantics/openAccessILADES. Universidad Alberto Hurtado.Revista de análisis económico v.25 n.1 20102010-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702010000100001en10.4067/S0718-88702010000100001
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Calendar anomalies LATIBEX market
spellingShingle	Calendar anomalies LATIBEX market GARCIA BLANDON,JOSE RETURN'S SEASONALITIES IN THE LATIBEX MARKET
description	This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously considerate all the mentioned anomalies through a single model. Although most of the empirical evidence reports calendar anomalies as accepted stylised facts of financial markets, a growing number of recent investigations find these anomalies weakening in most markets. Our results support this set of papers, since we do not report calendar anomalies in the LATlBEX indices. In addition, given the peculiarities of the LATIBEX market, our results also stress the importance of particular features of individual stock markets in the existence of calendar anomalies.
author	GARCIA BLANDON,JOSE
author_facet	GARCIA BLANDON,JOSE
author_sort	GARCIA BLANDON,JOSE
title	RETURN'S SEASONALITIES IN THE LATIBEX MARKET
title_short	RETURN'S SEASONALITIES IN THE LATIBEX MARKET
title_full	RETURN'S SEASONALITIES IN THE LATIBEX MARKET
title_fullStr	RETURN'S SEASONALITIES IN THE LATIBEX MARKET
title_full_unstemmed	RETURN'S SEASONALITIES IN THE LATIBEX MARKET
title_sort	return's seasonalities in the latibex market
publisher	ILADES. Universidad Alberto Hurtado.
publishDate	2010
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702010000100001
work_keys_str_mv	AT garciablandonjose returnsseasonalitiesinthelatibexmarket
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RETURN'S SEASONALITIES IN THE LATIBEX MARKET

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