Seasonal Effects on the Bovespa Index

José Farjado and Rafael Pereira
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José Farjado: IBMEC - RJ
Rafael Pereira: PETROBRAS

Brazilian Business Review, 2008, vol. 5, issue 3, 233-241

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.

Keywords: anomalies; seasonality; day-of-the-week effect; twist on the Monday effect; holiday effect; efficient market. (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bbz:fcpbbr:v:5:y:2008:i:3:p:233-241

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