Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?

Jesús Dacio Villarreal Samaniego; Roberto J. Santillán Salgado; Mario Alberto Lagunes Pérez

Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?

Jesús Dacio Villarreal Samaniego ^[3] ; Roberto Joaquín Santillán Salgado ^[1] ; Mario Alberto Lagunes Pérez ^[2]
1. [1] Universidad Autónoma de Nuevo León
  
  Universidad Autónoma de Nuevo León
  
  México
2. [2] Universidad Popular Autónoma del Estado de Puebla
  
  Universidad Popular Autónoma del Estado de Puebla
  
  México
3. [3] Instituto Tecnológico de Parral, México
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Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 67, Nº. 3, 2022
Idioma: inglés
DOI: 10.22201/fca.24488410e.2022.2920
Títulos paralelos:
- ¿Hay anomalías “día de la semana” y “día festivo” en el mercado accionario mexicano?
Enlaces
- Texto completo (pdf)
Resumen
- español
  Esta investigación examina la presencia de las anomalías Día de la Semana (DOW) y Efecto Día Festivo (HE) en el Índice de Precios y Cotizaciones (IPC) de la Bolsa Mexicana de Valores, así como en los subíndices de Capitalización Grande, Mediana y Pequeña del mismo mercado. La estimación empírica fue realizada con modelos de la familia GARCH. Encontramos que el efecto DOW estuvo presente consistentemente en los rendimientos y la volatilidad del IPC y en los tres subíndices. El Efecto Día Festivo también estuvo presente en la volatilidad de las cuatro series; sin embargo, este efecto fue detectado solamente en la serie de rendimientos del subíndice de Mediana Capitalización
- English
  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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