An Analysis of the Day-of-the-Week Effect in Latin American Stock Markets

Werner Kristjanpoller Rodríguez ()

Lecturas de Economía, 2009, issue 71, 189-208

Abstract: The purpose of this article is to determine the existence of the Day-of-the-Week (DOW) effect in six Latin American stock markets: Brazil, Chile, Colombia, Mexico, Argentina, and Peru. For this, an analysis of their associated stock indexes is in order, using returns in domestic currency. Considering the years 1993-2007, each stock market shows at least one abnormal day. The most common effects for these markets were the negative return effect on Mondays and the positive return effect on Fridays.

Keywords: Market Efficiency; Day-of-the-Week Effect; Emerging Markets (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2009
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