Sazonalidades do IBOVESPA

Costa, José Vilton; da, Newton C. A.

doi:10.1590/s0034-75901990000300008

Cited by 10 publications

(2 citation statements)

References 29 publications

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“…In the Brazilian stock market, the first studies regarding a possible January effect did not find statistical evidence of abnormal returns in that period of the year (Costa, 1990;Costa, & O'Hanlon, 1991). Since the 2000s, studies have indicated the existence of seasonal patterns in the month of January in the Ibovespa index (Santos, Famá, Trovão, & Mussa, 2007) and also in a sample of portfolios weighted by value, in which returns in January tended to be higher than in other months (Torres, Bonomo, & Fernandes, 2002).…”

Section: Theoretical Frameworkmentioning

confidence: 98%

Is the effect the same every January? Seasonality and Brazilian equity fund flows

Grossi

Malaquias

2020

Rev. contab. finanç.

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Based on the assumption that seasonal patterns have been identified in stock market assets and also in the context of equity mutual funds, the aim of this research is to investigate the relationship between the seasonality presented by the January effect and the net flow of Brazilian equity funds. The study extends the potential effects of seasonality beyond the return on stock market assets, demonstrating that seasonal patterns can also be observed in Brazilian mutual fund flows. The literature mostly points to common factors related to the performance of equity mutual funds; therefore this study investigates mutual fund flows, demonstrating that different factors influence the decisions of fund investors, including seasonal factors. The study has practical implications for fund managers, as it highlights a set of variables that can be used to anticipate variations in fund flow, reducing their effects on performance and avoiding costs. The results were estimated using panel data regression analysis. The study sample consisted of 1,010 equity funds, covering the period from January of 2004 to June of 2018. It was found that the average net inflow of Brazilian equity mutual funds is higher in January than in other months of the year, which characterizes the existence of a seasonal pattern in their net flows. However, the effect is different between exclusive and non-exclusive funds. As contributions, our findings: (i) provide a better understanding about the factors related to investor decision-making; (ii) point out new aspects in which exclusive and non-exclusive funds differ; and (iii) present factors that influence mutual fund flows.

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Section: Theoretical Frameworkmentioning

confidence: 98%

Is the effect the same every January? Seasonality and Brazilian equity fund flows

Grossi

Malaquias

2020

Rev. contab. finanç.

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“…Costa Jr. (1990) Public Holiday and Weekend Anomalies 127 found some significant results for anomalies related to days of the week using a 1969-1988 series of the Bovespa index.…”

Section: Literature Reviewmentioning

confidence: 99%

Public Holiday and Weekend Anomalies in the Main Latin American Stock Markets

Marques

2014

Latin American Business Review

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This study aims to check and measure possible causality relationships from some calendar events to average daily return anomalies in the main indexes of the six largest Latin American stock markets over the last ten years. Two variables controlling for the time in days elapsed between consecutive trading sessions constitute its main distinctive feature in relation to other similar studies on the same subject. Overall results show a higher significance than those of their corresponding dummies on a regular basis.RESUMEN. Este trabajo tiene como objetivo verificar y medir posibles relaciones causa-efecto entre algunos eventos de calendario y anomalı´as del retorno promedio diario a lo largo de los últimos diez años en los ı´ndices de las bolsas de valores de los seis mercados latinoamericanos más importantes. El estudio se destaca de otros similares publicados hasta la fecha por utilizar dos variables que controlan el intervalo de tiempo transcurrido entre dos sesiones bursa´tiles consecutivas. En general, los resultados muestran con cierta regularidad que estas variables presentan significancia superior que la de sus ''dummies'' tradicionales correspondientes.RESUMO. Este trabalho tem por objetivo investigar e mensurar ocorreˆncias de calenda´rio como possı´veis causas de anomalia nos retornos de ı´ndices de bolsas de valores dos seis mais importantes mercados latino-americanos ao longo dos últimos dez anos. O estudo se distingue dos similares ate´então publicados por conta da adoção de duas variáveis que registram intervalos temporais entre pregões consecutivos. De forma geral, os resultados mostram que estas varia´veis apresentam-se mais significativas do que as ''dummies'' tradicionais correspondentes.

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Overreaction in the Brazilian stock market

Costa

1994

Journal of Banking & Finance

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Sazonalidades do IBOVESPA

Abstract: ----

Cited by 10 publications

References 29 publications

Is the effect the same every January? Seasonality and Brazilian equity fund flows

Is the effect the same every January? Seasonality and Brazilian equity fund flows

Public Holiday and Weekend Anomalies in the Main Latin American Stock Markets

Overreaction in the Brazilian stock market

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