EFECTO FIN DE SEMANA Y FIN DE MES EN EL MERCADO BURSATIL CHILENO

Espinosa Méndez, Christian (2007): EFECTO FIN DE SEMANA Y FIN DE MES EN EL MERCADO BURSATIL CHILENO. Published in: Panorama Socioeconomico , Vol. 25, No. 034 (December 2007): pp. 8-17.

Abstract

The present work corroborates the existence of two anomalies that question the hypothesis of efficient markets in the Chilean stock market, these are the “effect weekend” or “effect monday” and the “effect month end”. Using the daily values of closing of stock-exchange index IPSA, and following the methodology used by Kenneth R. French, the hypotheses “Trading Time” and “Calendar Time” were checked to contrast the “effect weekend”. In order to contrast the “effect month end” it was made an analysis of averages and variances and, later, a study of temporary windows.

• Item Type: MPRA Paper
• Institution: Universidad Santo Tomás
• English Title: EFFECT WEEKEND AND EFFECT MONTH END IN THE CHILEAN STOCK MARKET
• Language: Spanish
• Keywords: Hipótesis de Mercados Eficientes; Efecto fin de semana; Efecto fin de mes
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General

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