Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?
Abstract This research examines the presence of the Day-of-the-Week (DOW) and Holiday Effect (HE) anomalies on the Mexican Stock Exchange’s (MSE) Índice de Precios y Cotizaciones -Price and Quotation Index- (IPC), as well as on the Large, Medium and Small Capitalization subindices of the same market. The empirical estimation was performed with GARCH family models. We found that the DOW effect was consistently present in both the returns and volatility of the IPC and the three subindices. The Holiday Effect was also present in the volatility of the four series; however, this effect was only detected for the Medium Capitalization subindex’s returns series.
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Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración
2022
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Online Access: | http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0186-10422022000300005 |
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oai:scielo:S0186-104220220003000052023-05-31Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?Villarreal Samaniego,Jesús DacioSantillán Salgado,Roberto JoaquínLagunes Pérez,Mario Alberto day-of-the-week effect holiday effect calendar anomalies market efficiency GARCH model Abstract This research examines the presence of the Day-of-the-Week (DOW) and Holiday Effect (HE) anomalies on the Mexican Stock Exchange’s (MSE) Índice de Precios y Cotizaciones -Price and Quotation Index- (IPC), as well as on the Large, Medium and Small Capitalization subindices of the same market. The empirical estimation was performed with GARCH family models. We found that the DOW effect was consistently present in both the returns and volatility of the IPC and the three subindices. The Holiday Effect was also present in the volatility of the four series; however, this effect was only detected for the Medium Capitalization subindex’s returns series.info:eu-repo/semantics/openAccessUniversidad Nacional Autónoma de México, Facultad de Contaduría y AdministraciónContaduría y administración v.67 n.3 20222022-09-01info:eu-repo/semantics/articletext/htmlhttp://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0186-10422022000300005en10.22201/fca.24488410e.2022.2920 |
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Villarreal Samaniego,Jesús Dacio Santillán Salgado,Roberto Joaquín Lagunes Pérez,Mario Alberto |
spellingShingle |
Villarreal Samaniego,Jesús Dacio Santillán Salgado,Roberto Joaquín Lagunes Pérez,Mario Alberto Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
author_facet |
Villarreal Samaniego,Jesús Dacio Santillán Salgado,Roberto Joaquín Lagunes Pérez,Mario Alberto |
author_sort |
Villarreal Samaniego,Jesús Dacio |
title |
Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
title_short |
Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
title_full |
Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
title_fullStr |
Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
title_full_unstemmed |
Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
title_sort |
are there “day-of-the-week” and “holiday” anomalies in the mexican stock market? |
description |
Abstract This research examines the presence of the Day-of-the-Week (DOW) and Holiday Effect (HE) anomalies on the Mexican Stock Exchange’s (MSE) Índice de Precios y Cotizaciones -Price and Quotation Index- (IPC), as well as on the Large, Medium and Small Capitalization subindices of the same market. The empirical estimation was performed with GARCH family models. We found that the DOW effect was consistently present in both the returns and volatility of the IPC and the three subindices. The Holiday Effect was also present in the volatility of the four series; however, this effect was only detected for the Medium Capitalization subindex’s returns series. |
publisher |
Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración |
publishDate |
2022 |
url |
http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0186-10422022000300005 |
work_keys_str_mv |
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