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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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Author Info
Espinosa Méndez, Christian
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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File URL: http://mpra.ub.uni-muenchen.de/6915/
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Publisher 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 Jul 2007
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Publication status: Published in Panorama Socioeconomico 034.25(2007): pp. 8-17
Handle: RePEc:pra:mprapa:3252

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Related research
Keywords: 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: General - - - Hypothesis Testing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
    Other versions:
  2. T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, EconWPA. [Downloadable!]
    Other versions:
  3. Cornelis A. Los, 2004. "Visualization of Chaos for Finance Majors," Finance 0409035, EconWPA. [Downloadable!]
  4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. repec:att:wimass:199520 is not listed on IDEAS
  7. 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. [Downloadable!] (restricted)
  8. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
    Other versions:
  9. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
    Other versions:
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