DAY OF THE WEEK AND MONTH OF THE YEAR EFFECTS AT THE LATIN AMERICAN EMERGING MARKETS

Abstract

Deviations from efficiency widely documented for the case of developed capital markets include the presence of seasonal patterns. These anomalies, fairly well known by investors, could possibly lead to obtaining extraordinary gains. Although markets from the developing and transitional economies have grown significantly during the last decades, research concerning their seasonal behavior is limited. This paper examines the day-of-the week and month-of-the year effect for the seven Latin American stock exchanges: Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela. Returns derived from the local nominal indexes, adjusted for inflation indexes, and dollar adjusted indexes are analyzed to identify the behavior of each exchange and draw some comparisons.

Citation

Cabello, A. and Ortiz, E. (2005), "DAY OF THE WEEK AND MONTH OF THE YEAR EFFECTS AT THE LATIN AMERICAN EMERGING MARKETS", Arbelaez, H. and Click, R.W. (Ed.) Latin American Financial Markets: Developments in Financial Innovations (International Finance Review, Vol. 5), Emerald Group Publishing Limited, Leeds, pp. 273-304. https://doi.org/10.1016/S1569-3767(05)05013-2