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Calendar Effects in Latin American Stock Markets

Author

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  • Iberico, Luis Antonio

    (Universidad del Pacífico)

  • Winkelried, Diego

    (Universidad del Pacífico)

Abstract

One of the most well-documented empirical regularities in international finance is the presence of calendar effects in historical stock returns. The literature focuses mainly on developed countries and in general, emerging markets have not received much attention on this issue. We aim to bridge this gap by documenting the existence of significant and robust calendar effects for the main stock markets in Latin America. Upon performing an extreme bounds analysis that adjusts our estimations for model uncertainty, we find a significantly negative Monday effect, generally compensated by a significantly positive Friday effect. These effects are robust to model specification and are stable through time. Even though not as widespread, we also find evidence for a robust turn-of-the-month effect.

Suggested Citation

  • Iberico, Luis Antonio & Winkelried, Diego, 2015. "Calendar Effects in Latin American Stock Markets," Working Papers 2015-008, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2015-008
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    More about this item

    Keywords

    Monday effect; effect coding; extreme bounds analysis; Latin America;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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