Seasonal Effects on the Bovespa Index

Detalhes bibliográficos
Autor(a) principal: Fajardo, José
Data de Publicação: 2008
Outros Autores: Pereira, Rafael
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/394
Resumo: The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential terms. The paper addresses the theories on market efficiency and on the seasonal effects analyzed. Statistics indicate that the anomalies were not consistently present during the periods studied.
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spelling Seasonal Effects on the Bovespa IndexEfeitos Sazonais no Índice bovespaanomaliesseasonalityday-of-the-week effecttwist on the Monday effectholiday effectefficient marketanomaliassazonalidadesefeito dia da semanareversão do efeito segunda-feiraefeito feriadomercado eficienteThe purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential terms. The paper addresses the theories on market efficiency and on the seasonal effects analyzed. Statistics indicate that the anomalies were not consistently present during the periods studied.Este artigo tem como objetivo investigar três anomalias no índice da Bolsa de Valores de São Paulo (BOVESPA): efeito dia da semana, reversão do efeito segunda-feira e efeito feriado. O período analisado é de Jan/1995 a Dez/2007, segmentando também em subperíodos de acordo com os mandatos presidenciais. O artigo aborda as teorias da eficiência de mercado e dos efeitos sazonais analisados. De acordo com as estatísticas as anomalias não foram constadas com constância durante os períodos estudados.FUCAPE Business Shool2008-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/39410.15728/bbr.2008.5.3.5Brazilian Business Review; Vol. 5 No. 3 (2008): Setembro a Dezembro de 2008; 233-241Brazilian Business Review; v. 5 n. 3 (2008): September to December 2008; 233-2411808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/394/602http://www.bbronline.com.br/index.php/bbr/article/view/394/603Copyright (c) 2008 Brazilian Business Reviewhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessFajardo, JoséPereira, Rafael2018-11-06T19:58:36Zoai:ojs.pkp.sfu.ca:article/394Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:58:36BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Seasonal Effects on the Bovespa Index
Efeitos Sazonais no Índice bovespa
title Seasonal Effects on the Bovespa Index
spellingShingle Seasonal Effects on the Bovespa Index
Fajardo, José
anomalies
seasonality
day-of-the-week effect
twist on the Monday effect
holiday effect
efficient market
anomalias
sazonalidades
efeito dia da semana
reversão do efeito segunda-feira
efeito feriado
mercado eficiente
title_short Seasonal Effects on the Bovespa Index
title_full Seasonal Effects on the Bovespa Index
title_fullStr Seasonal Effects on the Bovespa Index
title_full_unstemmed Seasonal Effects on the Bovespa Index
title_sort Seasonal Effects on the Bovespa Index
author Fajardo, José
author_facet Fajardo, José
Pereira, Rafael
author_role author
author2 Pereira, Rafael
author2_role author
dc.contributor.author.fl_str_mv Fajardo, José
Pereira, Rafael
dc.subject.por.fl_str_mv anomalies
seasonality
day-of-the-week effect
twist on the Monday effect
holiday effect
efficient market
anomalias
sazonalidades
efeito dia da semana
reversão do efeito segunda-feira
efeito feriado
mercado eficiente
topic anomalies
seasonality
day-of-the-week effect
twist on the Monday effect
holiday effect
efficient market
anomalias
sazonalidades
efeito dia da semana
reversão do efeito segunda-feira
efeito feriado
mercado eficiente
description The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential terms. The paper addresses the theories on market efficiency and on the seasonal effects analyzed. Statistics indicate that the anomalies were not consistently present during the periods studied.
publishDate 2008
dc.date.none.fl_str_mv 2008-09-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/394
10.15728/bbr.2008.5.3.5
url http://www.bbronline.com.br/index.php/bbr/article/view/394
identifier_str_mv 10.15728/bbr.2008.5.3.5
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/394/602
http://www.bbronline.com.br/index.php/bbr/article/view/394/603
dc.rights.driver.fl_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 5 No. 3 (2008): Setembro a Dezembro de 2008; 233-241
Brazilian Business Review; v. 5 n. 3 (2008): September to December 2008; 233-241
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
_version_ 1754732238578122752

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