Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/146696 
Erscheinungsjahr: 
2012
Quellenangabe: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 39 [Issue:] 1 [Publisher:] Universidad de Chile, Departamento de Economía [Place:] Santiago de Chile [Year:] 2012 [Pages:] 5-26
Verlag: 
Universidad de Chile, Departamento de Economía, Santiago de Chile
Zusammenfassung (übersetzt): 
In this paper we study the presence of calendar anomalies in the main Latin- American stock markets, for the 1993 to 2007 period. The literature has shown that the detection of those effects may depend on error distribution assumptions (Baker et al., 2008), and that their existence could be due to a problem of data snooping (Sullivan et al., 2001). In response to these problems, Cho et al. (2007) introduced a robust non-parametric test, which was adopted in this paper. Results show that calendar anomalies: Monday and Weekend Effects are present in the main Latin-American stock markets, and they are statistically significant.
Schlagwörter: 
Day of the Week Effect
stochastic dominance
emerging markets
JEL: 
F3
F4
G1
Dokumentart: 
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