Calendar effects in Latin American stock markets

Diego Winkelried and Luis A. Iberico
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Luis A. Iberico: Universidad del Pacífico (Lima, Perú)

Empirical Economics, 2018, vol. 54, issue 3, No 13, 1215-1235

Abstract: Abstract One of the most well-documented empirical regularities in international finance is the presence of calendar effects in historical stock returns. The literature focuses mainly on developed countries, and in general, emerging markets have not received much attention on this issue. We aim to bridge this gap by documenting the existence of significant and robust calendar effects for the main stock markets in Latin America. Upon performing an extreme bounds analysis that adjusts our estimations for model uncertainty, we find a significantly negative Monday effect, generally compensated by a significantly positive Friday effect. These effects are robust to model specification and are stable through time. Even though not as widespread, we also find evidence for a robust turn-of-the-month effect.

Keywords: Monday effect; Effect coding; Extreme bounds analysis; Latin America (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Working Paper: Calendar Effects in Latin American Stock Markets (2015)
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DOI: 10.1007/s00181-017-1257-y

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