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

Abstract

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.

Keywords

• Day-of-week effect
• January effect
• Market Efficiency Hypothesis
• Efeito dia-da-semana
• Efeito janeiro
• Hipótese de Mercado Eficiente