Day of the Week’ Effect: Analisys of Return Anomalies of the Stock Indexes in the Brazilian Market.

  • Wendel Alex Castro Silva Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG
  • Alfredo de Oliveira Melo Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG
  • Edimeire Alexandra Pinto Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG
Keywords: Efficient Markets, Abnormal Returns, Stock Indexes.

Abstract

This paper investigates, from samples of sector (IEE, INDX, ITEL) and market indexes (IBVX2 and IBOVESPA) representing securities traded in the Brazilian stock exchange, the ‘day of the week” calendar effect. The aim is to show potential temporal patterns exist in the returns of these indexes using the Bootstrap method. Specifically, for each index, the existence of abnormal (atypical) returns is tested, from the construction of intervals containing 722 daily observations. Once the tests were made, it was possible to identify the presence of atypical average positive returns on Fridays, and negative returns on Mondays for all index series from January 2005 to January 2009. Furthermore, on Wednesdays three indexes showed positive and atypical returns (IBOVESPA, IVBX2 and IEE), and on Thursdays two indices showed negative returns (ITEL and INDX). It is important to note that the anomalies pertaining to Wednesdays and Thursdays are less prevalent in literature. Finally, when considering the risks, it was found that the ITEL index showed risks above the upper limit on the same day in which the returns were negative, which contradicts theory. On Fridays, the risks are also lower than the global average, although the returns are atypical and positive.

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Author Biographies

Wendel Alex Castro Silva, Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG
Professor do Programa de Mestrado Acadêmico em Administração da Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG, Brasil Doutor em Administração pelo Departamento de Administração e Economia da Universidade Federal de Lavras (UFLA)
Alfredo de Oliveira Melo, Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG
Professor do Programa de Mestrado Acadêmico em Administração da Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG, Brasil Doutor em Organizações pelo Licence Science des Organisations da Université Paris Dauphine - Paris IX (França)
Edimeire Alexandra Pinto, Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG
Professora do Departamento de Administração da Faculdade Novos Horizontes (FNH) ̶ Belo Horizonte-MG, Brasil Mestra em Estatística pelo Instituto de Ciências Exatas da Universidade Federal de Minas Gerais (UFMG)
Published
2013-12-02
How to Cite
Silva, W., Melo, A., & Pinto, E. (2013). Day of the Week’ Effect: Analisys of Return Anomalies of the Stock Indexes in the Brazilian Market. REGE Revista De Gestão, 20(4), 477-495. Retrieved from https://www.revistas.usp.br/rege/article/view/99936
Section
Finanças