文章基本信息

标题：THE "WEEK-DAY EFFECT" ANOMALY IN THE BEHAVIOR OF STOCK INDEX RETURNS OF BRAZIL, MEXICO AND THE U.S.A.
本地全文：下载
作者：Fabio Vogelaar Carlucci ; Tabajara Pimenta Jú nior ; Fabiano Guasti Lima 等
期刊名称：Business and Management Review
印刷版ISSN：2047-0398
电子版ISSN：2047-0398
出版年度：2014
卷号：3
期号：9
页码：31-38
出版社：Global Research Society
摘要：This paper aimed to detect the occurrence of the “wee-day effect” in the behavior of a series of returns offered by the variations in quotations of the main stock Exchange indexes of Brazil (Ibovespa), Mexico (InMex) and the U.S.A. (Dow Jones). Three statistical tools were used: regression analysis with dummy variables, hypothesis test for difference of means; and the Kruskal-Wallis non-parametric test. Historical series of returns of the three indexes, covering the period between 2004 and 2012, were analyzed. The results obtained showed that the occurrence of this anomaly was not detected for any of the three markets, which contradicts the results found in other studies for different markets and for different periods
关键词：Market efficiency; day-of-the-week effect; seasonality