摘要：This paper aimed to detect the occurrence of the “wee-day effect” in the behavior of a series of returns offered by the variations in quotations of the main stock Exchange indexes of Brazil (Ibovespa), Mexico (InMex) and the U.S.A. (Dow Jones). Three statistical tools were used: regression analysis with dummy variables, hypothesis test for difference of means; and the Kruskal-Wallis non-parametric test. Historical series of returns of the three indexes, covering the period between 2004 and 2012, were analyzed. The results obtained showed that the occurrence of this anomaly was not detected for any of the three markets, which contradicts the results found in other studies for different markets and for different periods
