(Universidad Icesi, 2010-11-01) Torres García, Carlos Alberto; Alonso Cifuentes, Julio César; Asesor
The discussion related to the market efficiency and its implications on business
performance has been a constant topic in the economic and financial research.
This paper follows this branch, analyzing the “weekend effect” on the return and
volatility of the stock exchange index in Chile, Brasil, Mexico and Colombia.
The research uses a GARCH-M model applied to the closing daily prices in
order to isolate abnormal returns and volatilities related to the “weekend effect”.
Furthermore, it makes a review of previous papers and its results.
