CALENDAR ANOMALIES AND STOCK RETURN: WEEKDAY EFFECT ANALYSIS AND SECTOR OF THE ECONOMY

• Autor(a) principal: Machado, Márcio André Veras
• Data de Publicação: 2014
• Outros Autores: Cordeiro, Rebeca Albuquerque
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista Ambiente Contábil
• Texto Completo: https://periodicos.ufrn.br/ambiente/article/view/4324

This study aimed to verify the existence of the day-of-the-week effect in the Brazilian capital market, through regression models with dummy variables. For this, we used the daily returns of the Index of the Stock Exchange of São Paulo (IBOVESPA), from 2007 to 2012. Additionally, we sought to determine whether the abnormality affects economic indices, so we used the average daily returns of the indices of Consumer, Energy, Financial, Basic Materials, Real Estate, Industrial, Telecommunications and Public Utility, for the same period. After data analysis, we found no evidence of abnormal average returns in IBOVESPA. However, it was evident the existence of the anomaly in certain economic indicators in specific sub-periods of time. Thus, the article does not support the assumptions of the Market Efficiency Hypothesis. However, the establishment of  investiment strategies is compromised, due the lack of consistency of the effects observed over time.Keywords: Efficient Market Hypothesis. Day-of-the-week effect. Economic Indices.