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Weekend effect and financial characteristics: is there any relation in Latin America?

Author

Listed:
  • Samuel Mongrut

    (Tecnologico de Monterrey, Mexico; Universidad del Pacifico, Peru)

  • Cinzia Delfino

    (Universidad del Pacifico, Peru)

Abstract

Este estudio busca investigar la presencia del efecto del fin de semana en seis mercados latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) y mostrar la relación entre el efecto del fin de semana y los portafolios de inversión clasificados por cuatro características financieras: liquidez bursátil, ratio de liquidez corriente, capitalización de mercado (tamaño) y el ratio de precio a valor en libros. Usando una extensión del modelo French (1980) y un estudio de portafolios, identificamos un efecto fin de semana significativo en todos los países y encontramos una relación negativa entre el efecto fin de semana y cuatro características financieras: el efecto fin de semana es más fuerte en los portafolios que contienen acciones con baja liquidez bursátil, acciones con baja liquidez corriente, acciones de baja capitalización bursátil (tamaño) y acciones con bajos índices de precio a valor en libros. A diferencia de los estudios anteriores, sugerimos que el efecto del fin de semana puede verse influido por la inversión de los inversionistas institucionales en préstamos titulizados emitidos por compañías con acciones de valor y ratios de liquidez corriente ajustados, y por la inversión de inversionistas individuales en acciones de baja capitalización bursátil e ilíquidas.

Suggested Citation

  • Samuel Mongrut & Cinzia Delfino, 2019. "Weekend effect and financial characteristics: is there any relation in Latin America?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 509-525, Agosto 20.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:509-525
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    References listed on IDEAS

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    More about this item

    Keywords

    Anomalías bursátiles; efecto fin de semana; América Latina;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean

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