Keywords
JANUARY EFFECT
STOCK RETURNS
SEASONAL EFFECTS
GARCH MODELS
How to Cite
Abstract
THE AIM OF THIS PAPER IS TO PROVIDE EMPIRICAL EVIDENCE ABOUT THE PRESENCE OF SO-CALLED JANUARY EFFECT, AND OTHER SEASONAL EFFECTS, IN MAJOR LATIN AMERICAN CAPITAL MARKETS. TO THIS END, IN THE ANALYSIS TWO SINGLE EQUATION ECONOMETRIC SPECIFICATIONS WITH DUMMY VARIABLES ARE USED FOR STOCK RETURNS IN EACH MARKET, VALUED BOTH IN LOCAL CURRENCY AND DOLLARS. IN ESTIMATING SUCH SPECIFICATIONS ARCH EFFECTS WERE DETECTED FOR SOME COUNTRIES, SO THE TEST SPECIFICATION WAS EXPANDED WITH A GARCH MODEL FOR THE VOLATILITY OF THE RETURNS ON THESE MARKETS. IN THE END, MIXED EVIDENCE ON THE EXISTENCE OF JANUARY EFFECT IS FOUND IN THOSE MARKETS, EVIDENCE WHICH DEPENDS ON: 1) THE SPECIFICATION USED IN THE TEST, AND 2) HOW RETURNS ARE VALUED, WHETHER IN LOCAL CURRENCY OR IN US DOLLARS.© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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