Análisis del efecto día de semana en los mercados accionarios latinoamericanos
DOI:
https://doi.org/10.17533/udea.le.n71a4819Abstract
El objetivo de este artículo es determinar la existencia del "efecto día de semana" en las bolsas de valores de seis países latinoamericanos, Brasil, Chile, Colombia, México, Argentina y Perú, durante el periodo comprendido entre 1993 y 2007. Para ello se analizan los diferentes índices de las bolsas de valores de estos países, teniendo en cuenta las rentabilidades en moneda doméstica. En el periodo analizado, cada uno de los mercados accionarios de estos países muestra, al menos, un día anormal. Lo que más se detectó en estos mercados fue el efecto de rentabilidad negativa de los lunes y el efecto positivo de los viernes.
Palabras Claves: Eficiencia de mercado, efecto día de semana, mercados accionarios, mercados emergentes. Clasificación JEL: G10, G14, G15
Abstract:
The purpose of this article is to determine the existence of the Day-of-the-Week (DOW) effect in six Latin American stock markets: Brazil, Chile, Colombia, Mexico, Argentina, and Peru. For this, an analysis of their associated stock indexes is in order, using returns in domestic currency. Considering the years 1993-2007, each stock market shows at least one abnormal day. The most common effects for these markets were the negative return effect on Mondays and the positive return effect on Fridays.
Keywords: Market Efficiency, Day-of-the-Week Effect, Emerging Markets. JEL Classification: G10, G14, G15
Résumé:
L'objectif de cet article est de déterminer l'existence de l'effet jour de semaine dans les bourses de valeurs de six pays latino-américains (Brésil, Chili, Colombie, Mexique, Argentine et Pérou) pendant la période comprise entre 1993 et 2007. Pour cela, nous analysons les different indices bousiers de ces pays en tenant compte des rentabilités reçues en monnaie nationale. Pour la période analysée, chacun des marchés bousiers montre, au moins, un jour anormal alors que l'effet le plus détecté est celui de la rentabilité négative aperçue les lundis et l'effet positif aperçue les vendredis.
Mots clé: Efficience de marché, effet jour de semaine, marchés boursier, marchés émergents. Classification JEL : G10, G14, G15
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