Resumo

VILLARREAL SAMANIEGO, Jesús Dacio; SANTILLAN SALGADO, Roberto Joaquín  e  LAGUNES PEREZ, Mario Alberto. Are there “day-of-the-week” and “holiday” anomalies in the mexican stock market?. Contad. Adm [online]. 2022, vol.67, n.3, 00005.  Epub 06-Jun-2023. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2022.2920.

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.

Palavras-chave : day-of-the-week effect; holiday effect; calendar anomalies; market efficiency; GARCH model.