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Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno
[Effect Weekend And Effect Month End In The Chilean Stock Market]

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  • Espinosa Méndez, Christian
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    Abstract

    The 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 Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3252.

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    Date of creation: 02 May 2007
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    Handle: RePEc:pra:mprapa:3252

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    Keywords: Hipótesis de Mercados Eficientes; Efecto fin de semana; Efecto fin de mes;

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    1. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
    2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    3. Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, Wisconsin Madison - Social Systems.
    4. Cornelis A. Los, 2000. "Visualization of Chaos for Finance Majors," School of Economics Working Papers 2000-07, University of Adelaide, School of Economics.
    5. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA.
    6. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    7. Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    8. T. Di Matteo & T. Aste & M. M. Dacorogna, 2004. "Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development," Papers cond-mat/0403681, arXiv.org.
    9. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
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