Calendar effects in Latin American stock markets

Diego Winkelried, Luis A. Iberico

Research output: Contribution to journalArticle in a journalpeer-review

4 Scopus citations

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.
Original languageEnglish
Pages (from-to)1215-1235
Number of pages21
JournalEmpirical Economics
Volume54
Issue number3
DOIs
StatePublished - 1 May 2018

Keywords

  • Effect coding
  • Extreme bounds analysis
  • Latin America
  • Monday effect

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