Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno
[Effect Weekend And Effect Month End In The Chilean Stock Market]
AbstractThe present work corroborates the existence of two anomalies that question the hypothesis of efficient markets in the Chilean stock market, these are the “effect weekend” or “effect monday” and the “effect month end”. Using the daily values of closing of stock-exchange index IPSA, and following the methodology used by Kenneth R. French, the hypotheses “Trading Time” and “Calendar Time” were checked to contrast the “effect weekend”. In order to contrast the “effect month end” it was made an analysis of averages and variances and, later, a study of temporary windows.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 3252.
Date of creation: 02 May 2007
Date of revision:
Hipótesis de Mercados Eficientes; Efecto fin de semana; Efecto fin de mes;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-19 (All new papers)
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