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


  • Kristjanpoller Rodríguez Werner

    () (Universidad Técnica Federico Santa María)

  • Arenas Yáñez Teresita

    () (Universidad Técnica Federico Santa María)


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

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    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


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