IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v14y2019ipneap509-525.html
   My bibliography  Save this article

Weekend effect and financial characteristics: is there any relation in Latin America?

Author

Listed:
  • Samuel Mongrut

    (Tecnologico de Monterrey, Mexico; Universidad del Pacifico, Peru)

  • Cinzia Delfino

    (Universidad del Pacifico, Peru)

Abstract

Este estudio busca investigar la presencia del efecto del fin de semana en seis mercados latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) y mostrar la relación entre el efecto del fin de semana y los portafolios de inversión clasificados por cuatro características financieras: liquidez bursátil, ratio de liquidez corriente, capitalización de mercado (tamaño) y el ratio de precio a valor en libros. Usando una extensión del modelo French (1980) y un estudio de portafolios, identificamos un efecto fin de semana significativo en todos los países y encontramos una relación negativa entre el efecto fin de semana y cuatro características financieras: el efecto fin de semana es más fuerte en los portafolios que contienen acciones con baja liquidez bursátil, acciones con baja liquidez corriente, acciones de baja capitalización bursátil (tamaño) y acciones con bajos índices de precio a valor en libros. A diferencia de los estudios anteriores, sugerimos que el efecto del fin de semana puede verse influido por la inversión de los inversionistas institucionales en préstamos titulizados emitidos por compañías con acciones de valor y ratios de liquidez corriente ajustados, y por la inversión de inversionistas individuales en acciones de baja capitalización bursátil e ilíquidas.

Suggested Citation

  • Samuel Mongrut & Cinzia Delfino, 2019. "Weekend effect and financial characteristics: is there any relation in Latin America?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 509-525, Agosto 20.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:509-525
    as

    Download full text from publisher

    File URL: http://www.remef.org.mx/index.php/remef/article/view/420
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
    2. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
    3. Hela Cheikhrouhou & W. Britt Gwinner & John Pollner & Emanuel Salinas & Sophie Sirtaine & Dimitri Vittas, 2007. "Structured Finance in Latin America : Channeling Pension Funds to Housing, Infrastructure, and Small Businesses," World Bank Publications - Books, The World Bank Group, number 6782, December.
    4. M. J. Fields, 1931. "Stock Prices: A Problem in Verification," The Journal of Business, University of Chicago Press, vol. 4, pages 415-415.
    5. Maria Caporale, Guglielmo & Zakirova, Valentina, 2017. "Calendar anomalies in the Russian stock market," Russian Journal of Economics, Elsevier, vol. 3(1), pages 101-108.
    6. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 24(4), pages 541-550, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    2. M. Imtiaz Mazumder & Edward M. Miller & Oscar A. Varela, 2010. "Market Timing the Trading of International Mutual Funds: Weekend, Weekday and Serial Correlation Strategies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 979-1007.
    3. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    4. Mehmet Dicle & John Levendis, 2014. "The day-of-the-week effect revisited: international evidence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 407-437, July.
    5. Vipul Kumar Singh, 2019. "Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 493-507, December.
    6. Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu, 2015. "Short sales and the weekend effect—Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 26(C), pages 85-102.
    7. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
    8. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "DOW effects in returns and in volatility of stock markets during quiet and turbulent times," MPRA Paper 47218, University Library of Munich, Germany, revised 02 Apr 2013.
    9. Shahid Raza & Sun Baiqing & Imtiaz Hussain & Pwint Kay-Khine, 2023. "Do good and bad news affect the day of the week effect? An analysis of the KSE-100 Index," SN Business & Economics, Springer, vol. 3(7), pages 1-22, July.
    10. Chen, Gongmeng & Kwok, Chuck C. Y. & Rui, Oliver M., 2001. "The day-of-the-week regularity in the stock markets of China," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 139-163, April.
    11. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    12. Mr. Jason D. Mitchell & Ms. Li L Ong, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 2006/004, International Monetary Fund.
    13. Brusa, Jorge & Liu, Pu & Schulman, Craig, 2003. "The "reverse" weekend effect: the U.S. market versus international markets," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 267-286.
    14. Asli Bayar & Ozgur Berk Kan, 2002. "Day of the Week Effects : Recent Evidence from Nineteen Stock Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 77-90.
    15. Gonzalez-Perez, Maria T. & Guerrero, David E., 2013. "Day-of-the-week effect on the VIX. A parsimonious representation," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 243-260.
    16. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
    17. Ercan Balaban & Asli Bayar & Ozgur Berk Kan, 2001. "Stock returns, seasonality and asymmetric conditional volatility in world equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 8(4), pages 263-268.
    18. Nikkinen, Jussi & Rothovius, Timo, 2019. "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 16-29.
    19. Cheema, Arbab K. & Eshraghi, Arman & Wang, Qingwei, 2023. "Macroeconomic news and price synchronicity," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 390-412.
    20. Wing-Keung Wong & Aman Agarwal & Nee-Tat Wong, 2006. "The Disappearing Calendar Anomalies in the Singapore Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 11(2), pages 123-139, Jul-Dec.

    More about this item

    Keywords

    Anomalías bursátiles; efecto fin de semana; América Latina;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:509-525. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.