Festive and weekend effect on sectorial indexes on chilean and peruvian market with in the integrated latin american market

Abstract

In the chilean and Peruvian financial markets there has been evidence of certain a typical behavior in the up take of their returns. This behaviors might be due a calendar anomaly, known as “Festive effect” and/ or “Weekend effect”.

The objetive of the investigation was to observe the possible existence of both effects in the Integrated Latin American Market between he dates 30/05/2011 and 02/06/2015 for the chilean sectorial index case and between the 30/05/2011 and 31/12/2014 for the peruvian sectorial index.

Even though it was possible to find evidence of some calendar anomalies, it wasn’t possible to conclude signifi cantly that both effects existed simultaneously. The only sector with out anomalies was the Service Sector corresponding to Perú.