Anomalías de calendario en los mercados accionarios latinoamericanos: una revisión mediante el procedimiento de Bonferroni

Rojas, Emilio Torres; Kristjanpoller, Werner

doi:10.17533/udea.le.n81a4

Cited by 6 publications

(10 citation statements)

References 32 publications

(13 reference statements)

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“…Conversely, Rojas & Kristjanpoller (2014) did not find any DOW anomaly in the IPC between 1997 and 2008 by applying Bonferroni's test. The results of the GARCH in mean (GARCH-M) model used by Torres & Alonso (2010) also rejected the presence of the DOW effect in the Mexican market between 2001 and 2009.…”

Section: The Day-of-the-week Effectmentioning

confidence: 75%

“…The DOW and the HE anomalies for the Mexican market have been the subject of several studies, but their findings are frequently contradictory (e.g., Duarte, Sierra, & Garcés, 2013;Rojas & Kristjanpoller, 2014;Winkelried & Iberico, 2018). The present research contributes to the literature on 113 calendar anomalies of the Mexican Stock Exchange (MSE) by examining that market's capitalization subindices besides the aggregate stock market index, the Índice de Precios y Cotizaciones (IPC), to contrast both seasonal effects in different subsamples.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?

Samaniego

Salgado

Pérez

2022

CyA

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Section: The Day-of-the-week Effectmentioning

confidence: 75%

Section: Introductionmentioning

confidence: 99%

Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?

Samaniego

Salgado

Pérez

2022

CyA

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show abstract

“…Using stochastic dominance Kritsjanpoller and Muñoz (2012) found also support for the weekend effect in Latin American Markets. Furthermore, Rojas and Kristjanpoller (2014) also obtained support for the weekend effect in Latin America even when they adjust the statistical test from committing a Type I error (i.e. to reject wrongly the null hypothesis of not having significant returns) using the so-called Bonferroni correction.…”

Section: Literature Reviewmentioning

confidence: 99%

Weekend effect and financial characteristics: is there any relation in Latin America?

Mongrut

Delfino

2019

REMEF

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This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identify a significant weekend effect in all countries and found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size) and stocks with low price-to-book ratios. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks.

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“…The Monday effect, for example, exists when on this day the average return is consistently lower, and the volatility is systematically higher than on the other days of the week. Also, the change of month effect indicates that stock prices tend to increase over the last four days of the present month and the first three days of the subsequent one (Kristjanpoller and Muñoz, 2012;Quantpedia, 2015).…”

Section: Calendar Anomaliesmentioning

confidence: 99%

Analysis of the January Effect in Time Series of Mexican Stock Market Indexes

Alvarado

Demmler

2019

myn

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The current article has the research objective to search for empirical evidence of the January effect within the time series of the IPC and the sector indexes of the Mexican stock market using econometric GARCH analysis. The dataset is formed by the log returns of the daily closing prices corresponding to the IPC as well as the sector indexes covering the period from 01/01/2010 to 12/31/2018. The main results of the article are as follows: Based on the January effect the Efficient Market Hypothesis in its weak form sense cannot be rejected for the Mexican stock market as the results do not provide significant evidence of the existence of the respective calendar anomaly within the analyzed time series of the IPC and the different sector indexes.

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Anomalías de calendario en los mercados accionarios latinoamericanos: una revisión mediante el procedimiento de Bonferroni

Cited by 6 publications

References 32 publications

Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?

Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?

Weekend effect and financial characteristics: is there any relation in Latin America?

Analysis of the January Effect in Time Series of Mexican Stock Market Indexes

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