Efecto día feriado en los principales mercados accionarios de Latinoamérica

Kristjanpoller Rodríguez Werner ()
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Kristjanpoller Rodríguez Werner: Universidad Técnico Federico Santa María

Contaduría y Administración, 2012, vol. 57, issue 2, 45-62

Abstract: This article studies the pre and post holiday effects, also known as holiday effect, for the most important stock markets in Latin America: Brazil, Mexico, Chile, Argentina, Peru and Colombia, through their main stock price indexes for a 20-year time frame going from 1990 to 2009. Results show that the pre-holiday effect exists for the Chilean, Peruvian and Brazilian markets. Particularly for Chile and Peru, returns for days prior to holidays are almost seven times higher than on regular days. Post-holiday effects are accounted for in Mexico, Brazil and Peru. Returns for these days are accounted for as three times higher than a normal trading day. For the Colombian and Argentinian markets, no effects were found. Also, the holiday effect is proven to be independent from other calendar anomalies, such as weekend or end-of-the-year effects.

Keywords: Efecto día feriado; mercado accionario; mercados emergentes; GARCH (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:57:y:2012:i:2:p:45-62

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