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In this study we analyze the existence of the monthly effect in the Lima Stock Exchange of Peru through investigating the indices of IGBVL, ISBVL, and IPS-15, respectively. The study applies the methodology of the regression model with monthly data. The results indicates that the market anomaly exists and higher returns on investments occurs in October compared with other months of the year from 1999 to 2010.
Yen et al. (Sat,) studied this question.