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Seasonal Effects on the Bovespa Index

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Author Info

  • José Fajardo

    (IBMEC - RJ)

  • Rafael Pereira

    (PETROBRAS)

Abstract

The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential terms. The paper addresses the theories on market efficiency and on the seasonal effects analyzed. Statistics indicate that the anomalies were not consistently present during the periods studied.

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File URL: http://www.bbronline.com.br/public/edicoes/5_3/artigos/kguxfikndd2122010112018.pdf
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Bibliographic Info

Article provided by Fucape Business School in its journal Brazilian Business Review.

Volume (Year): 5 (2008)
Issue (Month): 3 (September)
Pages: 233-241

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Handle: RePEc:bbz:fcpbbr:v:5:y:2008:i:3:p:233-241

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Related research

Keywords: anomalies; seasonality; day-of-the-week effect; twist on the Monday effect; holiday effect; efficient market.;

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Cited by:
  1. Shiok Ye Lim & Ricky Chee-Jiun Chia, 2010. "Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets," Economics Bulletin, AccessEcon, vol. 30(2), pages 996-1005.
  2. Chia Ricky Chee-Jiun & Lim Shiok Ye, 2011. "Twist-of-the-Monday Effect: Evidence from United State and 18 Selected European Union Stock Markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 3113-3122.

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