EFECTO FIN DE SEMANA Y FIN DE MES EN EL MERCADO BURSATIL CHILENO

EFFECT WEEKEND AND EFFECT MONTH END IN THE CHILEAN STOCK MARKET

Christian Espinosa Méndez
Authors registered in the RePEc Author Service: Christian Espinosa-Méndez

MPRA Paper from University Library of Munich, Germany

Abstract: The present work corroborates the existence of two anomalies that question the hypothesis of efficient markets in the Chilean stock market, these are the “effect weekend” or “effect monday” and the “effect month end”. Using the daily values of closing of stock-exchange index IPSA, and following the methodology used by Kenneth R. French, the hypotheses “Trading Time” and “Calendar Time” were checked to contrast the “effect weekend”. In order to contrast the “effect month end” it was made an analysis of averages and variances and, later, a study of temporary windows.

Keywords: Hipótesis de Mercados Eficientes; Efecto fin de semana; Efecto fin de mes (search for similar items in EconPapers)
JEL-codes: C10 C12 G10 G14 (search for similar items in EconPapers)
Date: 2007-05-02
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https://mpra.ub.uni-muenchen.de/6915/1/MPRA_paper_6915.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3252

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