Public Holiday and Weekend Anomalies in the Main Latin American Stock Markets

Abstract

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.

Ramadan’s impact on the optimism of analysts’ recommendations

“…On the opposite, seasonality exists and has been documented by many researchers since the seventies (Ariel, 1987;French, 1980;Gibbons and Hess, 1981). In the past years, Eastern Europe countries have also been investigated as well as Asian and Arab countries (Al-Loughani et al, 2005;Marques, 2014;McGuinness, 2005;Teng and Liu, 2013;Tonchev and Kim*, 2004;Yuan et al, 2015). Nevertheless, the literature is still richer when it comes to the stock markets of the Western world.…”

The Impact of Economic Policies on Economic Growth in a Group of Arabic Countries: Empirical Verification using Non-Stationary Panel Model

“…The study uses Russell 2000 Index for small caps and S&P500 Index for large caps. Bialkowski, Etebari, Wisniewski [8] Significantly higher and less volatile returns are found to be present during the Ramadan for 14 predominant Muslim countries Casado, Muga and Santamaria [11] Proved that US holidays impact not only on American markets but also on the European's ones Marques [30] Founded the effect in six largest American stock markets…”

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

“…However, there is increasing evidence of the existence of market anomalies (Gayaker, Yalcin, & Berument, 2020;Plastun, Sibande, Gupta, & Wohar, 2020;Rossi, 2015). Among these anomalies are the so-called calendar (or seasonal 1 ) effects such as the Day-of-the-Week (DOW) Effect (Anwar, Okot, & Suhendra, 2021;Santillán Salgado, Fonseca Ramírez, & Nelson Romero, 2019;Tadepalli & Jain, 2018;Vogelaar, Pimenta, Lima, & Gaio, 2014;Yardımcı & Erdem, 2020;Zhang, Lai, & Lin, 2017) and the Holiday Effect (HE) (Caporale & Plastun, 2017;Dumitriu & Stefanescu, 2020;Eidinejad & Dahlem, 2021;Marques, 2014;Mazviona, Mah, & Choga, 2021). The DOW and HE anomalies studied in the context of the MSE are the subject of interest in this paper.…”

“…The OLS regressions used by Marques (2014) on the MSE and five other Latin American stock markets 2 showed that the HE was not significant between 2007 and 2012. Similarly, Seif et al (2017) and Winkelried & Iberico (2018) did not find evidence of the holiday effect in the IPC.…”