Efeito Dia Da Semana: Análise De Anomalias De Retorno Dos Índices Acionários No Mercado Brasileiro

Silva, Wendel Alex Castro; Melo, Alfredo de Oliveira; Pinto, Edimeire Alexandra

doi:10.5700/rege510

Cited by 1 publication

(1 citation statement)

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“…Ou seja, na segunda-feira, tanto o volume negociado quanto o retorno das ações são menores no mercado financeiro brasileiro (a variável segunda-feira foi negativa e significativa para apenas 10,0% das ações da amostra). No mercado brasileiro, pesquisas anteriores também identificaram resultados equivalentes quanto ao efeito segunda-feira (Costa Júnior, 1990;Silva et al, 2013).…”

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What Happens in the Brazilian Stock Market When It Is a Holiday in the Usa?

Malaquias

Grossi

Santos

et al. 2023

Contab. Vista & Rev.

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The cross-market holiday effect refers to “lower trading volume associated with one or more external markets not trading” (Batrinca, Hesse, & Treleaven, 2018, p. 675). Based on this concept, the main purpose of this paper was to test the effect of North American holidays on the volume traded in the Brazilian stock market during trading days in Brazil. We also evaluated the effect of North American holidays on daily stock returns of Brazilian firms. Based on data of 80 Brazilian company’s stocks over the period from January/2009 to December/2021, using ARMA-GARCH models, the main results indicate that the volume traded on the stocks of the sample was lower during North American holidays. On the other hand, for some stocks, their daily returns are higher when it is a holiday in the USA. Such results have implications for the theory of market efficiency, since there could be opportunities for obtaining abnormal returns based on calendar patterns. The main contribution of this paper is to analyze the cross-market holiday effect in the context of Brazilian stocks, expanding the literature on investments in emerging economies and considering trading activities of external markets.

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