Return’s Seasonalities in the Latibex Market

  • Jose Garcia Blandon Facultad de Economia, Institut Química de Sarrià, Universitat Ramon Llull


This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously considerate all the mentioned anomalies through a single model. Although  most of the empirical evidence reports calendar anomalies as accepted stylised facts of financial markets, a growing number of recent investigations find these anomalies weakening in most markets. Our results support this set of papers, since we do not report calendar anomalies in the LATIBEX indices. In addition, given the peculiarities of the LATIBEX market, our results also stress the importance of particular features of individual stock markets in the existence of calendar anomalies.
How to Cite
Garcia Blandon, J. (2010). Return’s Seasonalities in the Latibex Market. Economic Analysis Review, 25(1), 3-14. Retrieved from