Eficiência fraca, efeito dia-da-semana e efeito feriado no mercado acionário brasileiro: uma análise empírica sistemática e robusta

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DOI: https://doi.org/10.1590/S1415-65552002000100003
Keywords:
efficiency tests, Brazilian stock market, returns forecast, day-of-the-week effects, specification tests

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Rosemarie Bröker Bone
Universidade Federal do Rio Grande do Sul
Eduardo Pontual Ribeiro
University of Illinois

Abstract

The objetctive of this paper is to present evidence of weak efficiency in the Brazilian stock market. Contrary to other studies in the Brazilian literature on the topic, the statistical procedure always test the validity of the underlying hypotheses of the test statistics employed. Based on a sample of IBOVESPA index stocks for the recent period, the relevance of linear and non-linear autoregressive terms and day-of-the-week and holiday effects to the forecast of stock returns is studied. The results suggest that in most stocks some of the mentioned effects are present, in particular a Tuesday effect.

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How to Cite
Bone, R. B., & Ribeiro, E. P. (1). Eficiência fraca, efeito dia-da-semana e efeito feriado no mercado acionário brasileiro: uma análise empírica sistemática e robusta. Journal of Contemporary Administration, 6(1), 19-37. https://doi.org/10.1590/S1415-65552002000100003
Issue
Vol. 6 No. 1 (2002): Jan/Apr - 2002
Section
Articles

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Author Biographies

Rosemarie Bröker Bone, Universidade Federal do Rio Grande do Sul

Mestre em Economia pela Universidade Federal do Rio Grande do Sul e Doutoranda em Economia na Universidade Federal do Rio de Janeiro. Professora da Universidade do Vale do Rio dos Sinos, com interesse em pesquisa nas áreas de mercados financeiros, financiamento de empresas.

Eduardo Pontual Ribeiro, University of Illinois

Ph.D. em Economia pela University of Illinois at Urbana-Champaign, USA. Professor do Programa de Pós-Graduação em Economia da Universidade Federal do Rio Grande do Sul, além de Pesquisador do CNPq. Suas áreas de interesse em pesquisa são econometria aplicada, mercados financeiros e microeconomia.