Day of the Week Effect and Adaptive Markets in Latin American Stock Indices

被引：1
作者：
Villarreal-Samaniego, Dacio [1 ]
Santillan, Roberto J. [2 ]
机构：
[1] Tecnol Nacl Mexico Celaya, Dept Ciencias Econ Adm, Campus Parral, Hidalgo Del Parral 38010, Mexico
[2] Univ Autonoma Nuevo Leon, Fac Econ, San Nicolas De Los Garza, Mexico
来源：
ESTUDIOS GERENCIALES | 2023年 / 39卷 / 168期
关键词：
day-of-the-week effect; Latin American stock indices; adaptive markets hypothesis; efficient markets hypothesis; HYPOTHESIS EVIDENCE; CALENDAR ANOMALIES; EFFICIENT; EXCHANGE; RETURNS;
D O I：
10.18046/j.estger.2023.168.5796
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The objective of this work is to examine the Day-of-the-Week anomaly from the perspective of the Adaptive Markets Hypothesis for the stock market indices of Argentina, Brazil, Chile, Colombia, Mexico, and Peru in different subperiods and under different market conditions. The Autoregressive-Moving-Average, Generalized-Autoregressive-Conditional-Heteroskedasticity specifications, and the Kruskal-Wallis test used in the study reveal that the Day-of-the-Week effect appears and disappears in three of the indices and that its presence varies under different market conditions in all of them. This empirical evidence supports the Adaptive Markets Hypothesis.
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页码：286 / 296
页数：11
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