Weekend effect and financial characteristics: Is there any relation in Latin America?

Samuel Mongrut, Cinzia Delfino

Research output: Contribution to journalArticle in a journalpeer-review


This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identified a significant weekend effect in all countries and found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size) and stocks with low
price-to-book ratios. Our contribution lies in unveiling the role of institutional investors in generating the weekend effect in emerging markets. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks. Our results are limited by the fact that we do not know in detail institutional investors’ investment practices, but they also imply that there must be higher scrutiny in the composition of their investment portfolios.
Translated title of the contributionEfecto fin de semana y características financieras :: ¿Existe alguna relación en América Latina?
Original languageEnglish
Pages (from-to)509-525
JournalRevista Mexicana de Economía y Finanzas
StatePublished - Aug 2019


  • Anomalías bursátiles
  • Efecto fin de semana
  • América Latina


Dive into the research topics of 'Weekend effect and financial characteristics: Is there any relation in Latin America?'. Together they form a unique fingerprint.

Cite this