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

Authors

  • Márcio André Veras Machado Universidade Federal da Paraíba - UFPB
  • Rebeca Albuquerque Cordeiro Professora do Instituto de Educação, Ciência e Tecnologia da Paraíba – IFPB

Abstract

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.

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Author Biographies

Márcio André Veras Machado, Universidade Federal da Paraíba - UFPB

Marcio Andre Veras Machado possui graduação em Ciências Contábeis pela Universidade de Fortaleza (2000), mestrado em Administração, com concentração em Finanças, pela Universidade Federal da Paraíba (2002) e doutorado em administração, com concentração em finanças, pela Universidade de Brasília - UNB (2009). Atualmente, é Professor Adjunto II do Departamento de Administração e do Programa de Pós-Graduação em Administração (PPGA) da Universidade Federal da Paraíba e do Programa Multiinstitucional e Inter-regional de Pós-Graduação em Ciências Contábeis - UnB/UFPB/UFRN. Tem experiência na área de Administração, com ênfase em Finanças, atuando principalmente em Finanças Corporativas, Mercado de Capitais e Métodos Quantitativos Aplicados à Finanças. Publicou diversos trabalhos em periódicos especializados e anais de eventos, no Brasil e no exterior.

Rebeca Albuquerque Cordeiro, Professora do Instituto de Educação, Ciência e Tecnologia da Paraíba – IFPB

Doutoranda em Administração. Professora do Instituto de Educação, Ciência e Tecnologia da Paraíba – IFPB

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Published

03-07-2014

How to Cite

MACHADO, M. A. V.; CORDEIRO, R. A. CALENDAR ANOMALIES AND STOCK RETURN: WEEKDAY EFFECT ANALYSIS AND SECTOR OF THE ECONOMY. REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte, [S. l.], v. 6, n. 2, p. 75–93, 2014. Disponível em: https://periodicos.ufrn.br/ambiente/article/view/4324. Acesso em: 23 nov. 2024.

Issue

Vol. 6 No. 2 (2014): Jul./Dez.

Section

ARTICLES

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