Since 2014
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
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Return’s Seasonalities in the Latibex Market |
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| Creator |
Garcia Blandon, Jose
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| Subject |
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| Description |
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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 stylised 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. |
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
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| Date |
2010-08-12
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/316
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 25, No 1 (2010); 3-14
Revista de Análisis Económico – Economic Analysis Review; Vol 25, No 1 (2010); 3-14 0718-8870 0716-5927 |
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| Language |
eng
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/316/478
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