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An Analysis of the Day-of-the-Week Effect in Latin American Stock Markets

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  • Werner Kristjanpoller Rodríguez

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    Abstract

    The purpose of this article is to determine the existence of the Day-of-the-Week (DOW) effect in six Latin American stock markets: Brazil, Chile, Colombia, Mexico, Argentina, and Peru. For this, an analysis of their associated stock indexes is in order, using returns in domestic currency. Considering the years 1993-2007, each stock market shows at least one abnormal day. The most common effects for these markets were the negative return effect on Mondays and the positive return effect on Fridays.

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    Bibliographic Info

    Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

    Volume (Year): (2009)
    Issue (Month): 71 ()
    Pages: 189-208

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    Handle: RePEc:lde:journl:y:2009:i:71:p:189-208

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    Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

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    Keywords: Market Efficiency; Day-of-the-Week Effect; Emerging Markets;

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