Jesús Dacio Villarreal Samaniego, Roberto Joaquín Santillán Salgado, Mario Alberto Lagunes Pérez
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引用次数: 1
Abstract
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
本研究考察了墨西哥证券交易所（MSE）的Precios y Cotizaciones指数（IPC）以及同一市场的大型、中型和小型资本化子指数中是否存在周中日（DOW）和假日效应（HE）异常。使用GARCH族模型进行了经验估计。我们发现DOW效应始终存在于IPC和三个子指标的收益率和波动率中。假日效应也出现在四个系列的波动中；然而，这种影响只在中等资本化子指数的收益系列中检测到
期刊介绍：
Contaduría y Administración (Accounting and Management)is a quarterly journal aimed to the academic community. Being peer-reviewed by double blind process,seeks to contribute to the advancement of scientific and technical knowledge in the financial and administrative disciplines. This journal publishes original theoretical or applied research (No case studies, descriptive and exploratory) in Spanish and English on the following subjects: • Organization Management • Production Management and Operations • Human Resources Management • Management of Information Technology • Accounting and Auditing • Management and Leadership • Business Economics • Entrepreneurship • Business Environment • Finance • Operations Research • Innovation and Technological Change in Organizations • Marketing • Micro, Small and Medium Enterprises • Planning and Business Strategies • Management Theory • Financial Theory • Business Decisions Contaduría y Administración (Accounting and Management) also receives research papers on related areas to the above mentioned.
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