Calendar anomalies in the Latin American stock markets: A Bonferroni testing approach
DOI:
https://doi.org/10.17533/udea.le.n81a4Keywords:
Day of the week effect, month effect, emerging markets, Bonferroni correction, GARCH modelsAbstract
This article builds upon and corrects traditional calendar anomalies in the main Latin American stock markets for the period between 1991 and 2013. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. For the study, we use econometric models for the analysis of heteroscedastic variance supplemented with significance tests, including the Bonferroni correction. Results indicate mixed evidence of these anomalies; but, after the introduction of Bonferroni corrections, evidence suggests that such anomalies disappear, in cases where return and volatility both are considered, for almost all countries during the last period of our sample.
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