Day of the week effect in Latin American stock markets

Abstract

This article examines the Day of the Week Effect for the main stock markets in Latin America in Argentina, Brazil, Chile, Colombia, Mexico, and Peru, during the period, 1993-2007. I undertake three different analyses, including GARCH models for the returns and volatility of daily returns by day of the week for the major stock market indexes in the region. I document significant evidence of a Monday Effect (lower than expected returns) or a Friday Effect (higher than expected returns) in many cases in the region. Thus, despite the mitigating influences of longstanding awareness of these anomalies and lowered information and transaction costs from the growth of the internet, the Day of the Week Effect has persisted into recent times.