Anomalias de calendário no mercado brasileiro: Uma análise com empresas pertencentes ao IGC

The aim of this research was to analyze the calendar effect in the Brazilian capital market. To do so, we selected thecompanies pertaining of the corporate governance index, in the period from January/2003 to December/2007. Based onthe liquidity indicator, we selected for the study 41 companies, and...

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Bibliographic Details
Published in:	Contextus (Fortaleza) Vol. 10; no. 2; pp. 25 - 35
Main Authors:	Luciano Ferreira Carvalho, Rodrigo Fernandes Malaquias
Format:	Journal Article
Language:	English
Published:	Universidade Federal do Ceará 01-12-2012
Subjects:	Day-of-week effect Efeito dia-da-semana Efeito janeiro Hipótese de Mercado Eficiente January effect Market Efficiency Hypothesis
Online Access:	Get full text
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Summary:	The aim of this research was to analyze the calendar effect in the Brazilian capital market. To do so, we selected thecompanies pertaining of the corporate governance index, in the period from January/2003 to December/2007. Based onthe liquidity indicator, we selected for the study 41 companies, and the main results are aligned with the theory about thisissue: the Market Efficiency Hypothesis. In other words, we didn’t found evidences of temporal patterns (day-of-weekor January effects) for the major part of the observations.
ISSN:	1678-2089 2178-9258