DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | REAd (Porto Alegre. Online) |
Texto Completo: | https://seer.ufrgs.br/index.php/read/article/view/38831 |
Resumo: | This study aims to verify the presence of “day-of-week effect” in the Brazilian stock market analyzing the behavior of returns, the volatility and liquidity, the latter, measured through three measures: amount of business, number of titles and financial volume. The period considered for the study was from December 1999 to December 2006, totaling 1,736 daily observations. From the estimation of the regression models with dummy variables trying to verify the presence of seasonal daily behavior. Overall, the effect day-to-week appeared on the variables significantly more liquidity than on the variables of return and volatility. Concerning the measures of liquidity, there was a seasonal behavior over the week, giving low liquidity on Monday, followed by a considerable increase on Tuesday and Wednesday, and a further reduction in Thursday and Friday. For the return, Wednesday revealed a significant positive statistically returns for the other days the average return may be considered void. The behavior of volatility proved to be quite similar throughout the week, revealing coefficients positive and significant for all the days of the week. It is worth mentioning that the average volatility of Wednesday (single day with significant returns) is not substantially different from the average volatility of the remaining days of the week. |
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DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITYEFECTO DÍA DE LA SEMANA EN EL MERCADO BRASILEÑO: ANÁLISIS A PARTIR DE LA LIQUIDEZ, DEL RETORNO Y DE LA VOLATILIDAD.EFEITO DIA-DA-SEMANA NO MERCADO BRASILEIRO: UMA ANÁLISE SOB A ÓTICA DA LIQUIDEZ, DO RETORNO E DA VOLATILIDADEEfeito dia-da-semanaMercado de ações brasileiroRetornoLiquidezVolatilidade.Day-of-week effectBrazilian stock marketReturnLiquidityVolatility.Efecto día de la semanaMercado de valores de BrasilRentabilidadLiquidezVolatilidad.This study aims to verify the presence of “day-of-week effect” in the Brazilian stock market analyzing the behavior of returns, the volatility and liquidity, the latter, measured through three measures: amount of business, number of titles and financial volume. The period considered for the study was from December 1999 to December 2006, totaling 1,736 daily observations. From the estimation of the regression models with dummy variables trying to verify the presence of seasonal daily behavior. Overall, the effect day-to-week appeared on the variables significantly more liquidity than on the variables of return and volatility. Concerning the measures of liquidity, there was a seasonal behavior over the week, giving low liquidity on Monday, followed by a considerable increase on Tuesday and Wednesday, and a further reduction in Thursday and Friday. For the return, Wednesday revealed a significant positive statistically returns for the other days the average return may be considered void. The behavior of volatility proved to be quite similar throughout the week, revealing coefficients positive and significant for all the days of the week. It is worth mentioning that the average volatility of Wednesday (single day with significant returns) is not substantially different from the average volatility of the remaining days of the week.El objetivo del estudio es verificar la presencia del efecto día de la semana en el mercado de valores de Brasil, analizando el comportamiento de los rendimientos, de la volatilidad y de la liquidez; la última fue medida a través de tres mediciones: el número de transacciones, cantidad de acciones y volumen financiero. El período considerado para el estudio fue de diciembre de 1999 a diciembre de 2006, con un total de 1.736 observaciones diarias. A partir de la estimación de modelos de regresión con variables dummy, se buscó la presencia de comportamiento estacional diario. En general, el efecto día de la semana apareció de manera más significativa en las variables de liquidez que en las variables de rendimiento y volatilidad. Para las medidas de liquidez, hubo un patrón estacional de comportamiento durante la semana, con escasa liquidez, el lunes, seguido de un aumento considerable el martes y miércoles, y una otra reducción los jueves y viernes. A respecto del rendimiento, el miércoles mostró una rentabilidad media positiva y significativa, para los otros días el rendimiento promedio puede ser considerado nulo. El comportamiento de la volatilidad demostró ser muy similar en toda la semana, y revela coeficientes positivos y significativos para todos los días de la semana. Hay que señalar que la volatilidad media del miércoles (el único día con rendimiento significativo), no es tan diferente de la volatilidad promedia de los otros días de la semana.Este estudo tem como objetivo verificar a presença do efeito dia-da-semana no mercado de ações brasileiro analisando o comportamento dos retornos, da volatilidade e da liquidez, esta última, mensurada através de três medidas: quantidade de negócios, quantidade de títulos e volume financeiro. O período considerado para o estudo foi de dezembro de 1999 a dezembro de 2006, totalizando 1736 observações diárias. A partir da estimação de modelos de regressão com variáveis dummy buscou-se verificar a presença de comportamentos sazonais diários. De maneira geral, o efeito dia-da-semana apareceu mais expressivamente sobre as variáveis de liquidez do que sobre as variáveis de retorno e volatilidade. Em relação às medidas de liquidez, verificou-se um comportamento sazonal ao longo da semana, apresentando baixa liquidez na segunda-feira, seguido de um considerável aumento na terça e na quarta-feira, e uma nova redução na quinta e sexta-feira. Para o retorno, quarta-feira revelou uma rentabilidade média positiva estatisticamente significante, para os demais dias o retorno médio pode ser considerado nulo. O comportamento da volatilidade mostrou–se bastante semelhante ao longo da semana, revelando coeficientes positivos e significativos para todos os dias da semana. Cabe destacar que a volatilidade média da quarta-feira (único dia com retornos significativos) não se diferencia da volatilidade média dos demais dias da semana.Universidade Federal do Rio Grande do Sul2010-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionscientific articlearticulo científicoAvaliado pelos paresartigo científicoapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/38831Electronic Review of Administration; Vol. 16 No. 3 (2010): Edição 67 - set/dez 2010; 544-563Revista Electrónica de Administración; Vol. 16 Núm. 3 (2010): Edição 67 - set/dez 2010; 544-563Revista Eletrônica de Administração; v. 16 n. 3 (2010): Edição 67 - set/dez 2010; 544-5631413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/38831/25031Ceretta, Paulo SérgioVieira, Kelmara Mendesinfo:eu-repo/semantics/openAccess2013-04-22T14:47:33Zoai:seer.ufrgs.br:article/38831Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2013-04-22T14:47:33REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY EFECTO DÍA DE LA SEMANA EN EL MERCADO BRASILEÑO: ANÁLISIS A PARTIR DE LA LIQUIDEZ, DEL RETORNO Y DE LA VOLATILIDAD. EFEITO DIA-DA-SEMANA NO MERCADO BRASILEIRO: UMA ANÁLISE SOB A ÓTICA DA LIQUIDEZ, DO RETORNO E DA VOLATILIDADE |
title |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY |
spellingShingle |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY Ceretta, Paulo Sérgio Efeito dia-da-semana Mercado de ações brasileiro Retorno Liquidez Volatilidade. Day-of-week effect Brazilian stock market Return Liquidity Volatility. Efecto día de la semana Mercado de valores de Brasil Rentabilidad Liquidez Volatilidad. |
title_short |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY |
title_full |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY |
title_fullStr |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY |
title_full_unstemmed |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY |
title_sort |
DAY-OF-WEEK EFFECT IN THE BRAZILIAN MARKET: AN ANALYSIS FROM THE STANDPOINT OF LIQUIDITY, THE RETURN AND VOLATILITY |
author |
Ceretta, Paulo Sérgio |
author_facet |
Ceretta, Paulo Sérgio Vieira, Kelmara Mendes |
author_role |
author |
author2 |
Vieira, Kelmara Mendes |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Ceretta, Paulo Sérgio Vieira, Kelmara Mendes |
dc.subject.por.fl_str_mv |
Efeito dia-da-semana Mercado de ações brasileiro Retorno Liquidez Volatilidade. Day-of-week effect Brazilian stock market Return Liquidity Volatility. Efecto día de la semana Mercado de valores de Brasil Rentabilidad Liquidez Volatilidad. |
topic |
Efeito dia-da-semana Mercado de ações brasileiro Retorno Liquidez Volatilidade. Day-of-week effect Brazilian stock market Return Liquidity Volatility. Efecto día de la semana Mercado de valores de Brasil Rentabilidad Liquidez Volatilidad. |
description |
This study aims to verify the presence of “day-of-week effect” in the Brazilian stock market analyzing the behavior of returns, the volatility and liquidity, the latter, measured through three measures: amount of business, number of titles and financial volume. The period considered for the study was from December 1999 to December 2006, totaling 1,736 daily observations. From the estimation of the regression models with dummy variables trying to verify the presence of seasonal daily behavior. Overall, the effect day-to-week appeared on the variables significantly more liquidity than on the variables of return and volatility. Concerning the measures of liquidity, there was a seasonal behavior over the week, giving low liquidity on Monday, followed by a considerable increase on Tuesday and Wednesday, and a further reduction in Thursday and Friday. For the return, Wednesday revealed a significant positive statistically returns for the other days the average return may be considered void. The behavior of volatility proved to be quite similar throughout the week, revealing coefficients positive and significant for all the days of the week. It is worth mentioning that the average volatility of Wednesday (single day with significant returns) is not substantially different from the average volatility of the remaining days of the week. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion scientific article articulo científico Avaliado pelos pares artigo científico |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://seer.ufrgs.br/index.php/read/article/view/38831 |
url |
https://seer.ufrgs.br/index.php/read/article/view/38831 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/read/article/view/38831/25031 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal do Rio Grande do Sul |
publisher.none.fl_str_mv |
Universidade Federal do Rio Grande do Sul |
dc.source.none.fl_str_mv |
Electronic Review of Administration; Vol. 16 No. 3 (2010): Edição 67 - set/dez 2010; 544-563 Revista Electrónica de Administración; Vol. 16 Núm. 3 (2010): Edição 67 - set/dez 2010; 544-563 Revista Eletrônica de Administração; v. 16 n. 3 (2010): Edição 67 - set/dez 2010; 544-563 1413-2311 1980-4164 reponame:REAd (Porto Alegre. Online) instname:Universidade Federal do Rio Grande do Sul (UFRGS) instacron:UFRGS |
instname_str |
Universidade Federal do Rio Grande do Sul (UFRGS) |
instacron_str |
UFRGS |
institution |
UFRGS |
reponame_str |
REAd (Porto Alegre. Online) |
collection |
REAd (Porto Alegre. Online) |
repository.name.fl_str_mv |
REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS) |
repository.mail.fl_str_mv |
ea_read@ufrgs.br |
_version_ |
1799766202032062464 |