This study aims to check and measure possible causality relationships from some calendar events to average daily return anomalies in the main indexes of the six largest Latin American stock markets over the last ten years. Two variables controlling for the time in days elapsed between consecutive trading sessions constitute its main distinctive feature in relation to other similar studies on the same subject. Overall results show a higher significance than those of their corresponding dummies on a regular basis.RESUMEN. Este trabajo tiene como objetivo verificar y medir posibles relaciones causa-efecto entre algunos eventos de calendario y anomalı´as del retorno promedio diario a lo largo de los últimos diez años en los ı´ndices de las bolsas de valores de los seis mercados latinoamericanos más importantes. El estudio se destaca de otros similares publicados hasta la fecha por utilizar dos variables que controlan el intervalo de tiempo transcurrido entre dos sesiones bursa´tiles consecutivas. En general, los resultados muestran con cierta regularidad que estas variables presentan significancia superior que la de sus ''dummies'' tradicionales correspondientes.RESUMO. Este trabalho tem por objetivo investigar e mensurar ocorreˆncias de calenda´rio como possı´veis causas de anomalia nos retornos de ı´ndices de bolsas de valores dos seis mais importantes mercados latino-americanos ao longo dos últimos dez anos. O estudo se distingue dos similares ate´então publicados por conta da adoção de duas variáveis que registram intervalos temporais entre pregões consecutivos. De forma geral, os resultados mostram que estas varia´veis apresentam-se mais significativas do que as ''dummies'' tradicionais correspondentes.
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