Bibliographic citations
Huaman, J., (2023). Los efectos calendario en la bolsa de valores de Lima bajo la hipotesis de mercados adaptativos [Trabajo de investigación, Universidad Peruana de Ciencias Aplicadas (UPC)]. http://hdl.handle.net/10757/667219
Huaman, J., Los efectos calendario en la bolsa de valores de Lima bajo la hipotesis de mercados adaptativos [Trabajo de investigación]. PE: Universidad Peruana de Ciencias Aplicadas (UPC); 2023. http://hdl.handle.net/10757/667219
@misc{renati/403929,
title = "Los efectos calendario en la bolsa de valores de Lima bajo la hipotesis de mercados adaptativos",
author = "Huaman Fiallega, Jean Mauricio",
publisher = "Universidad Peruana de Ciencias Aplicadas (UPC)",
year = "2023"
}
This paper uses the Adaptive Markets Hypothesis theory to evaluate two calendar effects on the Lima Stock Exchange: Monday effect and TOTM. After using the ISBVL data to build more accurate specifications for the two calendar effects and evaluating the 2008 Financial Crisis period as a period of “uncertainty“ for the investor, we find that the calendar effects have been time-varying. Finally, investment strategies that take into account these two calendar effects are evaluated, being the Monday effect strategy better since outperform the Peruvian market benchmark in the last ten and five years.
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