Title: Day-of-the-Week effect in MILA stock markets: A relative distribution approach
Authors: Julio Cesar Alonso - Universidad Icesi (Colombia) [presenting]
Juan David Martin - Universidad Icesi (Colombia)
Beatriz Gallo - Universidad Icesi (Colombia)
Abstract: The Day-of-the-Week effect has been extensively studied due to its importance for both investors and researchers. Most of this evidence is bolstered by estimations of time-series models, especially in Latin American Markets. However, some studies question this evidence because of its reliance on error distributional assumptions. We use the Relative Distribution Methods to investigate the existence of the Day-of-the-Week effect in Latin American Integrated Market (MILA) countries. This non-parametric method allows searching for this calendar anomaly in the location, scale, and shape of the returns distributions. We find that there is evidence in favor of a Day-of-the-Week effect in MILA.