IDEAS home Printed from https://ideas.repec.org/a/nax/conyad/v60y2015i1p53-86.html
   My bibliography  Save this article

The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks

Author

Listed:
  • Kristjanpoller Rodríguez Werner

    () (Universidad Técnica Federico Santa María)

  • Arenas Yáñez Teresita

    () (Universidad Técnica Federico Santa María)

Abstract

In equity markets, it is common to find calendar anomalies, which have been the subject of several studies in recent decades, even some of them showing that over time these anomalies have disappeared. In this context, this paper analyzes one of these anomalies, the end-of-the-month effect, in both return and volatility in six Latin American stock markets, namely Brazil, Mexico, Chile, Colombia, Peru and Argentina during the period of 1993-2011. The importance of the evidence for the existence of this anomaly is to allow testing whether the effect has been disappearing over time. The findings of this research show the existence of positive abnormal returns and abnormal volatilities on days associated with the change of months for most of the countries under analysis. This research was performed according to three different periods defined in the literature to analyze the impact of the end-of-the-month effect. This research not only examines the key indexes of each market, but also the individual stocks of each, giving a much larger and demanding sample, which can lead to better conclusions about the existence of the phenomenon. Also, the transaction volume analysis is included to validate some hypotheses related with the high cash flow in the turn-of-month period.

Suggested Citation

  • Kristjanpoller Rodríguez Werner & Arenas Yáñez Teresita, 2015. "The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks," Contaduría y Administración, Accounting and Management, vol. 60(1), pages 53-86, enero-mar.
  • Handle: RePEc:nax:conyad:v:60:y:2015:i:1:p:53-86
    as

    Download full text from publisher

    File URL: http://www.cya.unam.mx/index.php/cya/article/view/4
    Download Restriction: no

    More about this item

    Keywords

    calendar anomalies; emerging markets; turn of the month;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    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:nax:conyad:v:60:y:2015:i:1:p:53-86. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alberto García-Narvaez (Technical Editor)). General contact details of provider: http://edirc.repec.org/data/fcunamx.html .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.