The Day-of-the-Week Effect and the Adaptive Market Hypothesis in Latin American Stock Markets

Abstract

The objective of this work is to examine the Day-of-the-Week anomaly from the perspective of the Adaptive Markets Hypothesis for the stock market indices of Argentina, Brazil, Chile, Colombia, Mexico, and Peru in different subperiods and under different market conditions. The Autoregressive-Moving-Average, Generalized-Autoregressive-Conditional-Heteroskedasticity specifications, and the Kruskal-Wallis test used in the study reveal that the Day-of-the-Week effect appears and disappears in three of the indices and that its presence varies under different market conditions in all of them. This empirical evidence supports the Adaptive Markets Hypothesis.