Resumen

KRISTJANPOLLER RODRIGUEZ, Werner. Return autocorrelation anomalies and the importance of non-trading periods in the Latin Americans stocks markets. Contad. Adm [online]. 2013, vol.58, n.1, pp.37-62. ISSN 0186-1042.

This paper aims to determine the evidence of returns autocorrelation for the main Latin American stock markets, and the influence of the day of the week effect on this phenomenon. Also, we analyze the importance of non-trading periods and their incidence on stock markets returns. We determine a high autocorrelation in most of the stock markets analyzed, both in local and global currency and the day-of-the-week effect on only some of the stock markets. Evidence of correlation between trading periods returns and those of non-trading periods is also found.

Palabras llave : return autocorrelation; emerging markets; non-trading periods.

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