Day of the Week Effect and Adaptive Markets in Latin American Stock Indices/El Efecto Día de la Semana y la Hipótesis del Mercado Adaptativo en las Bolsas de Valores de América Latina/O efeito do dia-da-semana e a hipótese de mercado adaptativo nas bolsas de valores latino-americanas

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-A...

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Bibliographic Details
Published inEstudios gerenciales Vol. 39; no. 168; pp. 286 - 296
Main Authors Villarreal-Samaniego, Dacio, Santillan, Roberto J
Format Journal Article
LanguageSpanish
Published Universidad ICESI 01.07.2023
Subjects
América Latina
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Summary: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.
ISSN:0123-5923
DOI:10.18046/j.estger.2023.168.5796