Return´s seasonalities in the Latibex Market
This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously considerate all the mentioned anomalies through a single model. Although most of the empirical evidence reports calendar anomalies as accepted stylized facts of financial markets, a growing number of recent investigations find these anomalies weakening in most markets. Our results support this set of papers, since we do not report calendar anomalies in the LATIBEX indices. In addition, given the peculiarities of the LATIBEX market, our results also stress the importance of particular features of individual stock markets in the existence of calendar anomalies.
Year of publication: |
2010
|
---|---|
Authors: | Jose García B. |
Published in: |
Revista de Analisis Economico – Economic Analysis Review. - ILADES, ISSN 0716-5297. - Vol. 25.2010, 1, p. 3-14
|
Publisher: |
ILADES |
Subject: | Calendar anomalies | LATIBEX market |
Saved in:
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