ResumenEl objetivo de este artículo es determinar la existencia del "efecto día de semana" en las bolsas de valores de seis países latinoamericanos, Brasil, Chile, Colombia, México, Argentina y Perú, durante el periodo comprendido entre 1993 y 2007. Para ello se analizan los diferentes...

En este estudio se estima la probabilidad de transacciones informadas comportamiento y sus efectos en los rendimientos diarios e intradiarios en Latinoamérica. Calculando la probabilidad diaria dinámica de transacciones informadas (Easley, Engle, O´Hara y Wu, 2008), como una medida del nivel...

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between...

This paper investigates how unchecked manipulations could cause frequent trade-induced manipulations and weak-form market inefficiency in South Asian stock markets [Bombay Stock Exchange (BSE), Dhaka Stock Exchange (DSE) and Karachi Stock Exchange (KSE)]. Specifically, the paper analyses the...

In this paper, we study the returns of emerging market stocks that are included in the MSCI Emerging Markets index, a widely used benchmark for investment funds. Our sample consists of 269 stocks from 24 countries that were added to the index and 262 stocks that were deleted. We find convincing...

The purpose of this article is to determine the existence of the Day-of-the-Week (DOW) effect in six Latin American stock markets: Brazil, Chile, Colombia, Mexico, Argentina, and Peru. For this, an analysis of their associated stock indexes is in order, using returns in domestic currency....

This study examines the long-standing IPO performance in the Istanbul Stock Exchange (ISE) by using new factors such as source of shares (new issue or sale of large shareholders), allocation of shares and dispersion of investors as well as existing factors such as market conditions (hot/cold),...

The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We...

This note examines the weak-form market efficiency of Latin American equity markets. Daily returns for Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron...

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...