DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS

This article examines the Day of the Week Effect for the main stock markets in Latin America in Argentina, Brazil, Chile, Colombia, Mexico, and Peru, during the period, 1993-2007.1 undertake three different analyses, including GARCH models for the returns and volatility of daily returns by day of th...

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Autor principal:	KRISTJANPOLLER RODRIGUEZ,WERNER
Lenguaje:	English
Publicado:	ILADES. Universidad Alberto Hurtado. 2012
Materias:	Day of the week effect Latin America emerging markets
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702012000100004
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spelling	oai:scielo:S0718-887020120001000042013-07-19DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETSKRISTJANPOLLER RODRIGUEZ,WERNER Day of the week effect Latin America emerging markets This article examines the Day of the Week Effect for the main stock markets in Latin America in Argentina, Brazil, Chile, Colombia, Mexico, and Peru, during the period, 1993-2007.1 undertake three different analyses, including GARCH models for the returns and volatility of daily returns by day of the week for the major stock market indexes in the region. I document significant evidence of a Monday Effect (lower than expected returns) or a Friday Effect (higher than expected returns) in many cases in the region. Thus, despite the mitigating influences of longstanding awareness of these anomalies and lowered information and transaction costs from the growth of the internet, the Day of the Week Effect has persisted into recent times.info:eu-repo/semantics/openAccessILADES. Universidad Alberto Hurtado.Revista de análisis económico v.27 n.1 20122012-04-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702012000100004en10.4067/S0718-88702012000100004
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Day of the week effect Latin America emerging markets
spellingShingle	Day of the week effect Latin America emerging markets KRISTJANPOLLER RODRIGUEZ,WERNER DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS
description	This article examines the Day of the Week Effect for the main stock markets in Latin America in Argentina, Brazil, Chile, Colombia, Mexico, and Peru, during the period, 1993-2007.1 undertake three different analyses, including GARCH models for the returns and volatility of daily returns by day of the week for the major stock market indexes in the region. I document significant evidence of a Monday Effect (lower than expected returns) or a Friday Effect (higher than expected returns) in many cases in the region. Thus, despite the mitigating influences of longstanding awareness of these anomalies and lowered information and transaction costs from the growth of the internet, the Day of the Week Effect has persisted into recent times.
author	KRISTJANPOLLER RODRIGUEZ,WERNER
author_facet	KRISTJANPOLLER RODRIGUEZ,WERNER
author_sort	KRISTJANPOLLER RODRIGUEZ,WERNER
title	DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS
title_short	DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS
title_full	DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS
title_fullStr	DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS
title_full_unstemmed	DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS
title_sort	day of the week effect in latin american stock markets
publisher	ILADES. Universidad Alberto Hurtado.
publishDate	2012
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-88702012000100004
work_keys_str_mv	AT kristjanpollerrodriguezwerner dayoftheweekeffectinlatinamericanstockmarkets
_version_	1714206208517210112

DAY OF THE WEEK EFFECT IN LATIN AMERICAN STOCK MARKETS

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