DAY OF THE WEEK AND MONTH OF THE YEAR ANOMALIES IN THE MEXICAN STOCK MARKET

Abstract

This paper presents evidence of day-of-the week and month-of-the year effects for the case of the Mexican Stock Market for the period 1986-2001, and two subperiods identified by breakpoints in the return series. In local currency nominal terms, Monday is the worst performing day of the week, but seasonality is not limited to negative returns identified for this day; Thursday tends to show abnormally high returns. These patterns remain basically the same in terms of inflation adjusted returns and dollar adjusted returns and for the subperiods analyzed. The behavior of monthly returns also show calendar anomalies. A January effect is present in nominal terms, but it is negative in real and dollar adjusted returns. The January effect present in nominal terms cannot be explained by the tax-loss theory advanced for the case of USA, since there are no taxes on capital gains in Mexico. In real and dollar adjusted terms, January returns become negative and a long negative strecht from August to February is also present. For both daily and monthly returns, anomalies are not related to risk premia.